covar_unvech

This function undoes the half-vectorization of a covariance matrix.

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

covar_unvech function

<dl><dt>sig</dt>
<dd>A (n+1)*n/2 vector.</dd>
<dt>n</dt>
<dd>Integer determining shape of the original matrix.</dd></dl>

Arguments

Covariance vech to matrix — covar_unvech

<dl>

<dt>sig</dt>
<dd>A (n+1)*n/2 vector.</dd>


<dt>n</dt>
<dd>Integer determining shape of the original matrix.</dd>

</dl>

covar_unvech: Covariance vech to matrix

Description

Usage

Value

Arguments