calc_mu2t: Test statistic for switch in mean only
In roga11/MSTest: Hypothesis Testing for Markov Switching Models
calc_mu2t R Documentation
Test statistic for switch in mean only
Description
This function computes part of the test statistic given by
eq. 2.5 of CHP 2014 when the alternative has switching mean only. The output
is used in chpStat which computes the full test statistics.
Usage
calc_mu2t(mdl, rho, ltmt)
Arguments
mdl
List containing model attributes (see ARmdl).
rho
Number determining value of rho.
ltmt
List containing derivatives output from chpDmat.
Value
Part of test statistic given rho and hv value.
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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| calc_mu2t | R Documentation |
Test statistic for switch in mean only
Description
This function computes part of the test statistic given by
eq. 2.5 of CHP 2014 when the alternative has switching mean only. The output
is used in chpStat which computes the full test statistics.
Usage
calc_mu2t(mdl, rho, ltmt)
Arguments
mdl |
List containing model attributes (see |
rho |
Number determining value of |
ltmt |
List containing derivatives output from |
Value
Part of test statistic given rho and hv value.
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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