MCpval

This function computes the Monte Carlo P-value.

Implementation of hypothesis testing procedures described in Hansen (1992) <doi:10.1002/jae.3950070506>, Carrasco, Hu, & Ploberger (2014) <doi:10.3982/ECTA8609>, Dufour & Luger (2017) <doi:10.1080/07474938.2017.1307548>, and Rodriguez-Rondon & Dufour (2026a) <doi:10.34989/swp-2026-23> that can be used to identify the number of regimes in Markov switching models. For a detailed description of the package, see Rodriguez-Rondon & Dufour (2026b) <doi:10.34989/swp-2026-7>.

Gabriel Rodriguez-Rondon

MSTest

Hypothesis Testing for Markov Switching Models

Jean-Marie Dufour

MCpval function

<dl><dt>test_stat</dt>
<dd>Test statistic under the alternative (e.g. <code>S_0</code>).</dd>
<dt>null_vec</dt>
<dd>A (<code>N x 1</code>) vector with test statistic under the null hypothesis.</dd>
<dt>type</dt>
<dd>String determining the type of test. Options are <code>"geq"</code> (right/upper-tail test; the default), <code>"leq"</code> (left/lower-tail test), <code>"two-tailed"</code> (or <code>"two-tail"</code>; two-sided test), and <code>"absolute"</code> (or <code>"abs"</code>; the upper-tail rule, intended for non-negative statistics). An unrecognized value raises an error.</dd></dl>

Arguments

Monte Carlo P-value — MCpval

<dl>

<dt>test_stat</dt>
<dd>Test statistic under the alternative (e.g. <code>S_0</code>).</dd>


<dt>null_vec</dt>
<dd>A (<code>N x 1</code>) vector with test statistic under the null hypothesis.</dd>


<dt>type</dt>
<dd>String determining the type of test. Options are <code>"geq"</code> (right/upper-tail test; the default), <code>"leq"</code> (left/lower-tail test), <code>"two-tailed"</code> (or <code>"two-tail"</code>; two-sided test), and <code>"absolute"</code> (or <code>"abs"</code>; the upper-tail rule, intended for non-negative statistics). An unrecognized value raises an error.</dd>

</dl>

MCpval: Monte Carlo P-value

Description

Usage

Value

Arguments

References