chpStat: Test statistic for CHP 2014 parameter stability test

In MSTest: Hypothesis Testing for Markov Switching Models

Test statistic for CHP 2014 parameter stability test

Description

This function computes the supTS and expTS test-statistics proposed in CHP 2014.

Usage

chpStat(mdl, rho_b, ltmt, msvar)

Arguments

mdl	List containing model attributes (see ARmdl).
rho_b	Number determining bounds for distribution of rh0 (i.e. rho ~ [-rho_b,rho_b]).
ltmt	List containing derivatives output from chpDmat.
msvar	Boolean indicator. If TRUE, there is a switch in variance. If FALSE only switch in mean is considered.

Value

A (2 x 1) vector with supTS test statistic as first element and expTS test-statistics as second element.

References

Carrasco, Marine, Liang Hu, and Werner Ploberger. 2014. “Optimal test for Markov switching parameters.” Econometrica 82 (2): 765–784.

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