MMC_bounds function

MMC nuisance parameter bounds

This function is used to determine the lower and upper bounds for the MMC LRT parameter search.

MMC_bounds(mdl_h0, con)

Arguments

• mdl_h0: List with restricted model properties.
• con: List with control options provided to MMC LRT procedure.

Returns

List with theta_low, vector of parameter lower bounds, and theta_upp, vector of parameter upper bounds.

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. 2024. “Monte Carlo Likelihood Ratio Tests for Markov Switching Models.” Unpublished manuscript.