thetaSE

This function computes the standard errors of the parameters in vector theta. This is done using an approximation of the Hessian matrix (using <code><a href="/link/hessian?package=MSTest&version=0.1.5" data-mini-rdoc="MSTest::hessian">hessian</a></code> and <code>nearPD</code> if <code>info_mat</code> is not PD).

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

thetaSE function

<dl><dt>mdl</dt>
<dd>List with model properties</dd></dl>

Arguments

This function computes the standard errors of the parameters in vector theta. This is done using an approximation of the Hessian matrix (using <code><a href='https://rdrr.io/pkg/numDeriv/man/hessian.html'>hessian</a></code> and <code>nearPD</code> if <code>info_mat</code> is not PD).

Theta standard errors — thetaSE

<dl>

<dt>mdl</dt>
<dd>List with model properties</dd>

</dl>

thetaSE: Theta standard errors

Description

Usage

Value

Arguments