estimMdl

This function is used by the Monte Carlo testing procedures 
to estimate restricted and unrestricted models.

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

estimMdl function

<dl><dt>Y</dt>
<dd>Series to be tested. Must be a (<code>T x q</code>) matrix.</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>k</dt>
<dd>integer specifying the number of regimes.</dd>
<dt>Z</dt>
<dd>exogeneous regressors. Defualt is NULL.</dd>
<dt>control</dt>
<dd>List with control options for model estimation. For default values, see description of model being estimated.</dd></dl>

Arguments

Estimate model for likelihood ratio test — estimMdl

<dl>

<dt>Y</dt>
<dd>Series to be tested. Must be a (<code>T x q</code>) matrix.</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>k</dt>
<dd>integer specifying the number of regimes.</dd>


<dt>Z</dt>
<dd>exogeneous regressors. Defualt is NULL.</dd>


<dt>control</dt>
<dd>List with control options for model estimation. For default values, see description of model being estimated.</dd>

</dl>

estimMdl: Estimate model for likelihood ratio test

Description

Usage

Value

Arguments