calc_DLmoments: Moment-based test statistics
In roga11/MSTest: Hypothesis Testing for Markov Switching Models
calc_DLmoments R Documentation
Moment-based test statistics
Description
This function computes the four moment-based test statistics (eq. 11 - 14) discussed in Dufour & Luger 2017.
Usage
calc_DLmoments(ehat)
Arguments
ehat
A (T x 1) vector of restricted model residuals.
Value
Vector containing the four test statistics.
References
Dufour, J. M., & Luger, R. 2017. "Identification-robust moment-based
tests for Markov switching in autoregressive models." Econometric Reviews, 36(6-9), 713-727.
roga11/MSTest documentation built on Feb. 25, 2025, 6:10 p.m.
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| calc_DLmoments | R Documentation |
Moment-based test statistics
Description
This function computes the four moment-based test statistics (eq. 11 - 14) discussed in Dufour & Luger 2017.
Usage
calc_DLmoments(ehat)
Arguments
ehat |
A ( |
Value
Vector containing the four test statistics.
References
Dufour, J. M., & Luger, R. 2017. "Identification-robust moment-based tests for Markov switching in autoregressive models." Econometric Reviews, 36(6-9), 713-727.
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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