BIC.MSVARmdl

This is a method for the function <code><a href="/link/BIC()?package=MSTest&version=0.1.5" data-mini-rdoc="MSTest::BIC()">BIC()</a></code> for objects of the class <code>MSVARmdl</code>.

internal

Implementation of hypothesis testing procedures described in Hansen (1992) <doi:10.1002/jae.3950070506>, Carrasco, Hu, & Ploberger (2014) <doi:10.3982/ECTA8609>, Dufour & Luger (2017) <doi:10.1080/07474938.2017.1307548>, and Rodriguez Rondon & Dufour (2024) <https://grodriguezrondon.com/files/RodriguezRondon_Dufour_2024_MonteCarlo_LikelihoodRatioTest_MarkovSwitchingModels_20241015.pdf> that can be used to identify the number of regimes in Markov switching models.

Gabriel Rodriguez Rondon

MSTest

Hypothesis Testing for Markov Switching Models

Jean-Marie Dufour

BIC.MSVARmdl function

<dl><dt>object</dt>
<dd>a fitted model object for which there exists a
 <code>logLik</code> method to extract the corresponding log-likelihood, or
 an object inheriting from class <code>logLik</code>.</dd>
<dt>...</dt>
<dd>optionally more fitted model objects.</dd></dl>

Arguments

This is a method for the function <code><a href='https://rdrr.io/r/stats/AIC.html'>BIC()</a></code> for objects of the class <code>MSVARmdl</code>.

BIC of a MSVARmdl object — BIC.MSVARmdl

<dl>

<dt>object</dt>
<dd>a fitted model object for which there exists a
 <code>logLik</code> method to extract the corresponding log-likelihood, or
 an object inheriting from class <code>logLik</code>.</dd>


<dt>...</dt>
<dd>optionally more fitted model objects.</dd>

</dl>

BIC.MSVARmdl: BIC of a `MSVARmdl` object

Description

Usage

Value

Arguments