mdledit

This function is used by the MMC LRT procedure. It makes a 
copy of the restricted model under the null hypothesis and changes the 
parameters used to simulate the process under the null with values being 
considered in the search/optimization.

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

mdledit function

<dl><dt>mdl_h0</dt>
<dd>List with restricted model properties.</dd>
<dt>theta_h0</dt>
<dd>vector of parameter values under null being considered.</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>k0</dt>
<dd>integer specifying the number of regimes.</dd></dl>

Arguments

Change model List with new parameters — mdledit

<dl>

<dt>mdl_h0</dt>
<dd>List with restricted model properties.</dd>


<dt>theta_h0</dt>
<dd>vector of parameter values under null being considered.</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>k0</dt>
<dd>integer specifying the number of regimes.</dd>

</dl>

mdledit: Change model List with new parameters

Description

Usage

Value

Arguments