Rao_test | R Documentation |
Rao_test
performs Rao's score test for a GSMVAR model
Rao_test(gsmvar)
gsmvar |
an object of class |
Tests the constraints imposed in the model given in the argument GSMVAR
.
This implementation uses the outer product of gradients approximation in the test statistic.
A list with class "hypotest" containing the test results and arguments used to calculate the test.
Kalliovirta L., Meitz M. and Saikkonen P. 2016. Gaussian mixture vector autoregression. Journal of Econometrics, 192, 485-498.
Virolainen S. 2022. Structural Gaussian mixture vector autoregressive model with application to the asymmetric effects of monetary policy shocks. Unpublished working paper, available as arXiv:2007.04713.
Virolainen S. 2022. Gaussian and Student's t mixture vector autoregressive model with application to the asymmetric effects of monetary policy shocks in the Euro area. Unpublished working paper, available as arXiv:2109.13648.
@keywords internal
LR_test
, Wald_test
, fitGSMVAR
, GSMVAR
, diagnostic_plot
,
profile_logliks
## These are long running examples that use parallel computing!
## The below examples take around 30 seconds to run.
# Structural GMVAR(2, 2), d=2 model with recursive identification
# with the AR matrices restricted to be the identical across the regimes:
W22 <- matrix(c(1, NA, 0, 1), nrow=2, byrow=FALSE)
C_mat <- rbind(diag(2*2^2), diag(2*2^2))
fit22sc <- fitGSMVAR(gdpdef, p=2, M=2, constraints=C_mat,
structural_pars=list(W=W22), ncalls=1, seeds=1)
# Test the null:
Rao_test(fit22sc)
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