logLik.HMmdl

This function is used to compute the log-likelihood for a Hidden Markov 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

logLik.HMmdl function

<dl><dt>object</dt>
<dd>any object from which a log-likelihood value, or a
 contribution to a log-likelihood value, can be extracted.</dd>
<dt>...</dt>
<dd>some methods for this generic function require additional
 arguments.</dd></dl>

Arguments

Log likelihood for Hidden Markov model — logLik.HMmdl

<dl>

<dt>object</dt>
<dd>any object from which a log-likelihood value, or a
 contribution to a log-likelihood value, can be extracted.</dd>


<dt>...</dt>
<dd>some methods for this generic function require additional
 arguments.</dd>

</dl>

logLik.HMmdl: Log likelihood for Hidden Markov model

Description

Usage

Value

Arguments