HLRparamSearch: HLR param search

In roga11/MSTest: Hypothesis Testing for Markov Switching Models

HLR param search

Description

This function performs the parameter grid search needed for the likelihood ratio test described in Hansen (1992).

Usage

HLRparamSearch(gx, gp, gq, b, null, HLR_opt_ls)

Arguments

gx	matrix/grid containing values for switching parameters in second regime.
gp	matrix/grid containing values for probability of going from regime 1 at (t) to regime 1 at (t+1).
gq	matrix/grid containing values for probability of going from regime 2 at (t) to regime 2 at (t+1) (if not bounded to be 1-p i.e., qbound=FALSE).
b	vector of initial parameter values of restricted model.
null	vector with likelihood under the null hypothesis.
HLR_opt_ls	List with model properties and test controls defined in HLRTest().

Value

List which contains:

• cs: Vector with standardized LRT statistic for each grid point.

• draws: List with a (nwband+1 x N matrix for each grid point. Each row of these matrices is a vector of simulated test statistics under the null hypothesis for a value of bandwidth .

• coefficients: A matrix with coefficients for each grid point.

roga11/MSTest documentation built on Feb. 25, 2025, 6:10 p.m.