argrid_MSARmdl: Autoregressive moment grid

In roga11/MSTest: Hypothesis Testing for Markov Switching Models

Autoregressive moment grid

Description

This function creates a grid of mean and variance consistent with a Markov-switching autoregressive model.

Usage

argrid_MSARmdl(mu, sig, k, ar, msmu, msvar)

Arguments

mu	vector (k x 1) of mu in each regime.
sig	vector (k x 1) of sigma in each regime.
k	integer determining the number of regimes.
ar	number of autoregressive lags.
msmu	Boolean indicator. If TRUE mean is subject to change. If FALSE mean is constant across regimes.
msvar	Boolean indicator. If TRUE variance is subject to change. If FALSE variance is constant across regimes.

Value

List with (M x ar+1) matrix of means for each regime M (where M = k^(ar+1)) and each time t,... t-ar, vector with variance for each regime M, and vector indicating the corresponded 1,..., k regime.

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