MMCLRpval_fun function

Monte Carlo Likelihood Ratio Test P-value Function

This function computes the Maximum Monte Carlo P-value.

MMCLRpval_fun(
  theta_h0,
  mdl_h0,
  k1,
  LT_h1,
  N,
  burnin,
  workers,
  lambda,
  stationary_constraint,
  thtol,
  Z,
  exog,
  mdl_h0_control,
  mdl_h1_control
)

Arguments

• theta_h0: vector of parameter values under the null being considered.
• mdl_h0: List with restricted model properties.
• k1: integer determining the number of regimes under the alternative.
• LT_h1: double specifying maximum log likelihood under alternative.
• 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 version of test. Note that parallel pool must already be open.
• 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.

Returns

MMC p-value