paramList_MSARmdl

This function takes the parameter vector of interest and converts it to a list with specific parameter vectors needed for univariate Markov-switching functions.

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

paramList_MSARmdl function

<dl><dt>theta</dt>
<dd>Vector of parameters.</dd>
<dt>p</dt>
<dd>Number of autoregressive lags.</dd>
<dt>k</dt>
<dd>Number of regimes.</dd>
<dt>msmu</dt>
<dd>Boolean indicating if the mean switches with regime.</dd>
<dt>msvar</dt>
<dd>Boolean indicating if the variance switches with regime.</dd></dl>

Arguments

Parameter list for Markov-switching autoregressive model — paramList_MSARmdl

<dl>

<dt>theta</dt>
<dd>Vector of parameters.</dd>


<dt>p</dt>
<dd>Number of autoregressive lags.</dd>


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


<dt>msmu</dt>
<dd>Boolean indicating if the mean switches with regime.</dd>


<dt>msvar</dt>
<dd>Boolean indicating if the variance switches with regime.</dd>

</dl>

paramList_MSARmdl: Parameter list for Markov-switching autoregressive model

Description

Usage

Value

Arguments