companionMat

This function converts the (<code>q x 1</code>) vector of constants and (<code>q x qp</code>) matrix of autoregressive coefficients into (<code>qp x qp</code>) matrix belonging to the companion form

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

companionMat function

<dl><dt>phi</dt>
<dd>matrix of dimension (<code>q x qp</code>) containing autoregressive coefficients.</dd>
<dt>p</dt>
<dd>integer for number of autoregressive lags.</dd>
<dt>q</dt>
<dd>integer for number of series.</dd></dl>

Arguments

Companion Matrix — companionMat

<dl>

<dt>phi</dt>
<dd>matrix of dimension (<code>q x qp</code>) containing autoregressive coefficients.</dd>


<dt>p</dt>
<dd>integer for number of autoregressive lags.</dd>


<dt>q</dt>
<dd>integer for number of series.</dd>

</dl>

companionMat: Companion Matrix

Description

Usage

Value

Arguments