MCpval {MSTest} | R Documentation |
Monte Carlo P-value
Description
This function computes the Monte Carlo P-value.
Usage
MCpval(test_stat, null_vec, type = "geq")
Arguments
test_stat |
Test statistic under the alternative (e.g. |
null_vec |
A ( |
type |
String determining type of test. options are: "geq" for right-tail test, "leq" for left-tail test, "abs" for absolute value test and "two-tail" for two-tail test. |
Value
MC p-value of test
References
Dufour, Jean-Marie 2006. "Monte Carlo tests with nuisance parameters: A general approach to finite-sample inference and nonstandard asymptotics". Journal of Econometrics, 133(2), 443-477.
Dufour, Jean-Marie, and Richard Luger. 2017. "Identification-robust moment-based tests for Markov switching in autoregressive models". Econometric Reviews, 36(6-9), 713-727.
[Package MSTest version 0.1.2 Index]