CHPbootCV: Bootstrap critical values for CHP 2014 parameter stability...
In roga11/MSTest: Hypothesis Testing for Markov Switching Models
CHPbootCV R Documentation
Bootstrap critical values for CHP 2014 parameter stability test
Description
This bootstrap procedure is described on pg. 771 of CHP 2014.
Usage
CHPbootCV(mdl, rho_b, N, 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]).
N
Number of bootstrap simulations.
msvar
Boolean indicator. If TRUE, there is a switch in variance. If FALSE only switch in mean is considered.
Value
Bootstrap critical values
References
Carrasco, Marine, Liang Hu, and Werner Ploberger. 2014. “Optimal
test for Markov switching parameters.” Econometrica 82 (2): 765–784.
roga11/MSTest documentation built on Feb. 25, 2025, 6:10 p.m.
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| CHPbootCV | R Documentation |
Bootstrap critical values for CHP 2014 parameter stability test
Description
This bootstrap procedure is described on pg. 771 of CHP 2014.
Usage
CHPbootCV(mdl, rho_b, N, msvar)
Arguments
mdl |
List containing model attributes (see |
rho_b |
Number determining bounds for distribution of |
N |
Number of bootstrap simulations. |
msvar |
Boolean indicator. If |
Value
Bootstrap critical values
References
Carrasco, Marine, Liang Hu, and Werner Ploberger. 2014. “Optimal test for Markov switching parameters.” Econometrica 82 (2): 765–784.
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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