simuMSVARX_cpp: Simulate Markov-switching VARX process

In roga11/MSTest: Hypothesis Testing for Markov Switching Models

Simulate Markov-switching VARX process

Description

This function simulates a Markov-switching VARX process.

Usage

simuMSVARX_cpp(mdl_h0, burnin = 100L)

Arguments

mdl_h0

List containing the following DGP parameters n: Length of series. k: Number of regimes. mu: A (k x q) matrix of means. sigma: List with k (q x q) covariance matrices. phi: A (q x qp) matrix of autoregressive coefficients. p: Number of autoregressive lags. q: Number of series. P: A (k x k) transition matrix (columns must sum to one). eps: An optional (T+burnin x q) matrix with standard normal errors to be used. Errors will be generated if not provided. Z: A (T x qz) matrix with exogenous regressors (Optional) and where qz is the number of exogenous variables. betaZ: A (qz x q) matrix true coefficients on exogenous regressors (Optional) and where qz is the number of exogenous variables.

burnin

Number of simulated observations to remove from beginning. Default is 100.

Value

List with simulated vector autoregressive series and its DGP parameters.

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