This function converts a transition matrix to the transition matrix consistent with a Markov-switching autoregressive model.

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

arP function

<dl><dt>P</dt>
<dd>original transition matrix.</dd>
<dt>k</dt>
<dd>integer determining the number of regimes.</dd>
<dt>ar</dt>
<dd>number of autoregressive lags.</dd></dl>

Arguments

Autoregressive transition matrix — arP

<dl>

<dt>P</dt>
<dd>original transition matrix.</dd>


<dt>k</dt>
<dd>integer determining the number of regimes.</dd>


<dt>ar</dt>
<dd>number of autoregressive lags.</dd>

</dl>

arP: Autoregressive transition matrix

Description

Usage

Value

Arguments