calcResid_MSVARmdl: Markov-switching vector autoregressive model residuals

In MSTest: Hypothesis Testing for Markov Switching Models

Markov-switching vector autoregressive model residuals

Description

This function computes residuals of a Markov-switching vector autoregressive model.

Usage

calcResid_MSVARmdl(mdl, mu, k)

Arguments

mdl	List containing relevant parameters.
mu	Vector with mean in each regime.
k	Number of regimes. Must be greater than or equal to 2.

Value

List with M (Txq) matrices of residuals in each regime M where M=k^(ar+1).

MSTest documentation built on Oct. 31, 2024, 1:06 a.m.