calc_mu2t_mv

This function computes part of the test statistic given by 
eq. 2.5 of CHP 2014 when the alternative has switching mean and variance. 
The output is used in <code>chpStat</code> which computes the full test
statistics.

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_mu2t_mv function

<dl><dt>mdl</dt>
<dd>List containing model attributes (see <code>ARmdl</code>).</dd>
<dt>rho</dt>
<dd>Number determining value of <code>rho</code>.</dd>
<dt>ltmt</dt>
<dd>List containing derivatives output from <code>chpDmat</code>.</dd>
<dt>hv</dt>
<dd>Number determining value of <code>h</code>.</dd></dl>

Arguments

Test statistic for switch in mean and variance — calc_mu2t_mv

<dl>

<dt>mdl</dt>
<dd>List containing model attributes (see <code>ARmdl</code>).</dd>


<dt>rho</dt>
<dd>Number determining value of <code>rho</code>.</dd>


<dt>ltmt</dt>
<dd>List containing derivatives output from <code>chpDmat</code>.</dd>


<dt>hv</dt>
<dd>Number determining value of <code>h</code>.</dd>

</dl>

calc_mu2t_mv: Test statistic for switch in mean and variance

Description

Usage

Value

Arguments

References