mdledit: Change model List with new parameters

In roga11/MSTest: Hypothesis Testing for Markov Switching Models

Change model List with new parameters

Description

This function is used by the MMC LRT procedure. It makes a copy of the restricted model under the null hypothesis and changes the parameters used to simulate the process under the null with values being considered in the search/optimization.

Usage

mdledit(mdl_h0, theta_h0, p, q, k0, exog)

Arguments

mdl_h0	List with restricted model properties.
theta_h0	vector of parameter values under null being considered.
p	integer specifying the number of autoregressive lags.
q	integer specifying the number of series.
k0	integer specifying the number of regimes.

Value

List with model properties

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