compu_tstat: Computes test stat using new parameter vectors
In roga11/MSTest: Hypothesis Testing for Markov Switching Models
compu_tstat R Documentation
Computes test stat using new parameter vectors
Description
This function computes the LRT statistic.
Usage
compu_tstat(theta_h0, mdl_h0, LT_h1, p, q, k0, exog)
Arguments
theta_h0
estimated parameter values for restricted model.
mdl_h0
List with restricted model properties.
LT_h1
Double specifying maximum log likelihood under alternative.
p
integer specifying the number of autoregressive lags.
q
integer specifying the number of series.
k0
integer specifying the number of regimes under the null hypothesis.
Value
LRT statistic
roga11/MSTest documentation built on Feb. 25, 2025, 6:10 p.m.
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| compu_tstat | R Documentation |
Computes test stat using new parameter vectors
Description
This function computes the LRT statistic.
Usage
compu_tstat(theta_h0, mdl_h0, LT_h1, p, q, k0, exog)
Arguments
theta_h0 |
estimated parameter values for restricted model. |
mdl_h0 |
List with restricted model properties. |
LT_h1 |
Double specifying maximum log likelihood under alternative. |
p |
integer specifying the number of autoregressive lags. |
q |
integer specifying the number of series. |
k0 |
integer specifying the number of regimes under the null hypothesis. |
Value
LRT statistic
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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