limP

Takes a transition matrix and returns the limiting probabilities.

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

limP function

<dl><dt>P</dt>
<dd>Matrix with transition probabilities.</dd></dl>

Arguments

Ergodic (limiting) probabilities of states — limP

<dl>

<dt>P</dt>
<dd>Matrix with transition probabilities.</dd>

</dl>

limP: Ergodic (limiting) probabilities of states

Description

Usage

Value

Arguments