ts_lagged

This function takes a (<code>T x 1</code>) vector <code>Y</code> and returns the (<code>T-p x 1</code>) vector <code>y</code> and the (<code>T-p x p</code>) matrix of lagged observations.

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

ts_lagged function

<dl><dt>Y</dt>
<dd>Vector with time series observations.</dd>
<dt>p</dt>
<dd>integer for the number of lags to use in estimation. Must be greater than or equal to <code>1</code>.</dd></dl>

Arguments

Lagged Time Series Data — ts_lagged

<dl>

<dt>Y</dt>
<dd>Vector with time series observations.</dd>


<dt>p</dt>
<dd>integer for the number of lags to use in estimation. Must be greater than or equal to <code>1</code>.</dd>

</dl>

ts_lagged: Lagged Time Series Data

Description

Usage

Value

Arguments