estimMdl: Estimate model for likelihood ratio test
In MSTest: Hypothesis Testing for Markov Switching Models
estimMdl R Documentation
Estimate model for likelihood ratio test
Description
This function is used by the Monte Carlo testing procedures
to estimate restricted and unrestricted models.
Usage
estimMdl(Y, p, q, k, Z = NULL, control = list())
Arguments
Y
Series to be tested. Must be a (T x q) matrix.
p
integer specifying the number of autoregressive lags.
q
integer specifying the number of series.
k
integer specifying the number of regimes.
Z
exogeneous regressors. Defualt is NULL.
control
List with control options for model estimation. For default values, see description of model being estimated.
Value
List with estimated model properties.
MSTest documentation built on Oct. 31, 2024, 1:06 a.m.
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| estimMdl | R Documentation |
Estimate model for likelihood ratio test
Description
This function is used by the Monte Carlo testing procedures to estimate restricted and unrestricted models.
Usage
estimMdl(Y, p, q, k, Z = NULL, control = list())
Arguments
Y |
Series to be tested. Must be a ( |
p |
integer specifying the number of autoregressive lags. |
q |
integer specifying the number of series. |
k |
integer specifying the number of regimes. |
Z |
exogeneous regressors. Defualt is NULL. |
control |
List with control options for model estimation. For default values, see description of model being estimated. |
Value
List with estimated model properties.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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