calc_DLmoments

This function computes the four moment-based test statistics (eq. <code>11</code> - <code>14</code>) discussed in Dufour &amp; Luger 2017.

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

calc_DLmoments function

<dl><dt>ehat</dt>
<dd>A (<code>T x 1</code>) vector of restricted model residuals.</dd></dl>

Arguments

Moment-based test statistics — calc_DLmoments

<dl>

<dt>ehat</dt>
<dd>A (<code>T x 1</code>) vector of restricted model residuals.</dd>

</dl>

calc_DLmoments: Moment-based test statistics

Description

Usage

Value

Arguments

References