initVals_MSVARmdl

This function generates a random parameter vector to be used as initial values for a Markov-switching vector autoregressive model.

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

initVals_MSVARmdl function

<dl><dt>mdl</dt>
<dd>List with parameter values of simple (one-regime) vector autoregressive model. This includes:<ul>
<li>phi: Matrix autoregressive coefficients.</li>
<li>mu: Vector of means.</li>
<li>sigma: Covariance matrix.</li>
<li>msmu: Boolean indicator. If <code>TRUE</code>, mean is function of markov process. If <code>FALSE</code>, mean is constant across regimes.</li>
<li>msvar: Boolean indicator. If <code>TRUE</code>, standard deviation is function of markov process. If <code>FALSE</code>, standard deviation is constant across regimes.</li>
</ul></dd>
<dt>k</dt>
<dd>Number of regimes.</dd></dl>

Arguments

Initial values for Markov-switching vector autoregressive model — initVals_MSVARmdl

<dl>

<dt>mdl</dt>
<dd>List with parameter values of simple (one-regime) vector autoregressive model. This includes:<ul>
<li>phi: Matrix autoregressive coefficients.</li>
<li>mu: Vector of means.</li>
<li>sigma: Covariance matrix.</li>
<li>msmu: Boolean indicator. If <code>TRUE</code>, mean is function of markov process. If <code>FALSE</code>, mean is constant across regimes.</li>
<li>msvar: Boolean indicator. If <code>TRUE</code>, standard deviation is function of markov process. If <code>FALSE</code>, standard deviation is constant across regimes.</li>
</ul></dd>


<dt>k</dt>
<dd>Number of regimes.</dd>

</dl>

initVals_MSVARmdl: Initial values for Markov-switching vector autoregressive model

Description

Usage

Value

Arguments