Fstat | R Documentation |
Compute the f-statistic for the break test
Fstat(mat.r, mat.beta, mat.z, p, mat.sigma)
mat.r |
The selection matrix for the parameters |
mat.beta |
The matrix of parameters |
mat.z |
The matrix of original and "breaking" time series |
p |
The number of observations |
mat.sigma |
The covariance matrix |
The f-statistic scalar
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