LR_samp_dist_par function

Monte Carlo Likelihood Ratio Test sample distribution (parallel version)

This function simulates the sample distribution under the null hypothesis using a parallel pool.

LR_samp_dist_par(
  mdl_h0,
  k1,
  N,
  burnin,
  Z,
  mdl_h0_control,
  mdl_h1_control,
  workers
)

Arguments

• mdl_h0: List with restricted model properties.
• k1: integer specifying the number of regimes under the alternative hypothesis.
• N: integer specifying the number of replications.
• burnin: integer specifying the number of observations to drop from beginning of simulation.
• mdl_h0_control: List with controls/options used to estimate restricted model.
• mdl_h1_control: List with controls/options used to estimate unrestricted model.
• workers: Integer determining the number of workers to use for parallel computing version of test. Note that parallel pool must already be open.

Returns

vector of simulated LRT statistics

References

Rodriguez-Rondon, Gabriel and Jean-Marie Dufour. 2022. "Simulation-Based Inference for Markov Switching Models” JSM Proceedings, Business and Economic Statistics Section: American Statistical Association.

Rodriguez-Rondon, Gabriel and Jean-Marie Dufour. 2023. “Monte Carlo Likelihood Ratio Tests for Markov Switching Models.” Unpublished manuscript.