LR_samp_dist_par {MSTest} | R Documentation |
Monte Carlo Likelihood Ratio Test sample distribution (parallel version)
Description
This function simulates the sample distribution under the null hypothesis using a parallel pool.
Usage
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. |
Value
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 Unpublished manuscript.