MMCLRpval_fun_min: Monte Carlo Likelihood Ratio Test P-value Function

Description

This function computes the (negative) Maximum Monte Carlo P-value.

Usage

MMCLRpval_fun_min(
  theta,
  mdl_h0,
  k1,
  LRT_0,
  N,
  burnin,
  workers,
  lambda,
  stationary_constraint,
  thtol,
  Z,
  exog,
  mdl_h0_control,
  mdl_h1_control,
  predrawn_eps = NULL,
  predrawn_state_rand = NULL
)

Value

negative MMC p-value

Arguments

theta: vector of parameter values being considered.
mdl_h0: List with restricted model properties.
k1: integer determining the number of regimes under the alternative.
LRT_0: double specifying the fixed observed likelihood ratio test statistic.
N: integer specifying the number of replications.
burnin: integer specifying the number of observations to drop from beginning of simulation.
workers: Integer determining the number of workers to use for parallel computing.
lambda: Double determining penalty on nonlinear constraint.
stationary_constraint: Boolean determining if only stationary solutions are considered (if TRUE) or not (if FALSE).
thtol: double determining the convergence criterion used during estimation.
mdl_h0_control: List with controls/options used to estimate restricted model.
mdl_h1_control: List with controls/options used to estimate unrestricted model.
predrawn_eps: Optional list of pre-drawn standard normal matrices (fixed across theta evaluations).
predrawn_state_rand: Optional matrix of pre-drawn U[0,1] for state transitions.