predict.MSVARmdl

This is a method for the function <code><a href="/link/predict()?package=MSTest&version=0.1.5" data-mini-rdoc="MSTest::predict()">predict()</a></code> for objects of the class <code>MSVARmdl</code>.

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

predict.MSVARmdl function

<dl><dt>object</dt>
<dd>a model object for which prediction is desired.</dd>
<dt>...</dt>
<dd>additional arguments affecting the predictions produced.</dd>
<dt>h</dt>
<dd>max number of prediction periods</dd></dl>

Arguments

This is a method for the function <code><a href='https://rdrr.io/r/stats/predict.html'>predict()</a></code> for objects of the class <code>MSVARmdl</code>.

Predict for a MSVARmdl object — predict.MSVARmdl

<dl>

<dt>object</dt>
<dd>a model object for which prediction is desired.</dd>


<dt>...</dt>
<dd>additional arguments affecting the predictions produced.</dd>


<dt>h</dt>
<dd>max number of prediction periods</dd>

</dl>

predict.MSVARmdl: Predict for a `MSVARmdl` object

Description

Usage

Value

Arguments