chpDmat: Derivative matrix

In roga11/MSTest: Hypothesis Testing for Markov Switching Models

Derivative matrix

Description

This function organizes the first and second derivatives of the log-likelihood.

Usage

chpDmat(mdl, msvar)

Arguments

mdl	List containing output from ARmdl.
msvar	Boolean indicator. If TRUE, there is a switch in variance. If FALSE only switch in mean is considered.

Value

List containing relevant first and second derivatives of log-likelihood function.

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.