EMaximization_MSARmdl

This function performs the maximization step of the Expectation Maximization algorithm for Markov-switching autoregressive model.

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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_2025_MonteCarlo_LikelihoodRatioTest_MarkovSwitchingModels_20251014.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

EMaximization_MSARmdl function

<dl><dt>theta</dt>
<dd>Vector of model parameters.</dd>
<dt>mdl</dt>
<dd>List with model attributes.</dd>
<dt>MSloglik_output</dt>
<dd>List with output from <code>ExpectationM_MSARmdl</code>.</dd>
<dt>k</dt>
<dd>Integer determining the number of regimes.</dd></dl>

Arguments

Maximization step of EM algorithm for Markov-switching autoregressive model — EMaximization_MSARmdl

<dl>

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


<dt>mdl</dt>
<dd>List with model attributes.</dd>


<dt>MSloglik_output</dt>
<dd>List with output from <code>ExpectationM_MSARmdl</code>.</dd>


<dt>k</dt>
<dd>Integer determining the number of regimes.</dd>

</dl>

EMaximization_MSARmdl: Maximization step of EM algorithm for Markov-switching autoregressive model

Description

Usage

Value

Arguments