calcResid_MSVARmdl

This function computes residuals of a Markov-switching vector 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

calcResid_MSVARmdl function

<dl><dt>mdl</dt>
<dd>List containing relevant parameters.</dd>
<dt>mu</dt>
<dd>Vector with mean in each regime.</dd>
<dt>k</dt>
<dd>Number of regimes. Must be greater than or equal to <code>2</code>.</dd></dl>

Arguments

Markov-switching vector autoregressive model residuals — calcResid_MSVARmdl

<dl>

<dt>mdl</dt>
<dd>List containing relevant parameters.</dd>


<dt>mu</dt>
<dd>Vector with mean in each regime.</dd>


<dt>k</dt>
<dd>Number of regimes. Must be greater than or equal to <code>2</code>.</dd>

</dl>

calcResid_MSVARmdl: Markov-switching vector autoregressive model residuals

Description

Usage

Value

Arguments