estimMdl: Estimate model for likelihood ratio test

In roga11/MSTest: Hypothesis Testing for Markov Switching Models

Estimate model for likelihood ratio test

Description

This function is used by the Monte Carlo testing procedures to estimate restricted and unrestricted models.

Usage

estimMdl(Y, p, q, k, Z = NULL, control = list())

Arguments

Y	Series to be tested. Must be a (T x q) matrix.
p	integer specifying the number of autoregressive lags.
q	integer specifying the number of series.
k	integer specifying the number of regimes.
Z	exogeneous regressors. Defualt is NULL.
control	List with control options for model estimation. For default values, see description of model being estimated.

Value

List with estimated model properties.

roga11/MSTest documentation built on Feb. 25, 2025, 6:10 p.m.