compu_tstat

This function computes the LRT statistic.

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

compu_tstat function

<dl><dt>theta_h0</dt>
<dd>estimated parameter values for restricted model.</dd>
<dt>mdl_h0</dt>
<dd>List with restricted model properties.</dd>
<dt>LT_h1</dt>
<dd>Double specifying maximum log likelihood under alternative.</dd>
<dt>p</dt>
<dd>integer specifying the number of autoregressive lags.</dd>
<dt>q</dt>
<dd>integer specifying the number of series.</dd>
<dt>k0</dt>
<dd>integer specifying the number of regimes under the null hypothesis.</dd></dl>

Arguments

Computes test stat using new parameter vectors — compu_tstat

<dl>

<dt>theta_h0</dt>
<dd>estimated parameter values for restricted model.</dd>


<dt>mdl_h0</dt>
<dd>List with restricted model properties.</dd>


<dt>LT_h1</dt>
<dd>Double specifying maximum log likelihood under alternative.</dd>


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


<dt>q</dt>
<dd>integer specifying the number of series.</dd>


<dt>k0</dt>
<dd>integer specifying the number of regimes under the null hypothesis.</dd>

</dl>

compu_tstat: Computes test stat using new parameter vectors

Description

Usage

Value

Arguments