calc_mu2t_mv: Test statistic for switch in mean and variance

In roga11/MSTest: Hypothesis Testing for Markov Switching Models

Test statistic for switch in mean and variance

Description

This function computes part of the test statistic given by eq. 2.5 of CHP 2014 when the alternative has switching mean and variance. The output is used in chpStat which computes the full test statistics.

Usage

calc_mu2t_mv(mdl, rho, ltmt, hv)

Arguments

mdl	List containing model attributes (see ARmdl).
rho	Number determining value of rho.
ltmt	List containing derivatives output from chpDmat.
hv	Number determining value of h.

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.