chpStat

This function computes the supTS and expTS test-statistics 
proposed in CHP 2014.

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

chpStat function

<dl><dt>mdl</dt>
<dd>List containing model attributes (see <code>ARmdl</code>).</dd>
<dt>rho_b</dt>
<dd>Number determining bounds for distribution of <code>rh0</code> (i.e. <code>rho</code> ~ <code>[-rho_b,rho_b]</code>).</dd>
<dt>ltmt</dt>
<dd>List containing derivatives output from <code>chpDmat</code>.</dd>
<dt>msvar</dt>
<dd>Boolean indicator. If <code>TRUE</code>, there is a switch in variance. If <code>FALSE</code> only switch in mean is considered.</dd></dl>

Arguments

Test statistic for CHP 2014 parameter stability test — chpStat

<dl>

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


<dt>rho_b</dt>
<dd>Number determining bounds for distribution of <code>rh0</code> (i.e. <code>rho</code> ~ <code>[-rho_b,rho_b]</code>).</dd>


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


<dt>msvar</dt>
<dd>Boolean indicator. If <code>TRUE</code>, there is a switch in variance. If <code>FALSE</code> only switch in mean is considered.</dd>

</dl>

chpStat: Test statistic for CHP 2014 parameter stability test

Description

Usage

Value

Arguments

References