CHPtest: CHP Test

In roga11/MSTest_v1: MSTest: An R-package For Testing Markov-Switching Models

Description

This function performs the CHP test as outline in Carrasco, M., Hu, L. and Ploberger, W. (2014). This function can be used to recreate results from Table III of the paper. Econometrica as the original publisher and source code can be found here: https://www.econometricsociety.org/content/supplement-optimal-test-markov-switching-parameters.

Usage

CHPtest(Y, p = 1, N = 3000, rho_b = 0.7, var_switch = 0)

Arguments

Y	the series to be tested
p	Number of autoregressive lags AR(p)
N	Number of Bootstrap iterations. Default is set to 3000 as in paper.
rho_b	bound for apriori distribution of rh0 (i.e. rho ~ \([-rho_b,rho_b]\)
var_switch	Indicator for switch in Variance (if = 0, only Mean is subject to switch)

References

Carrasco, Marine, Liang Hu, and Werner Ploberger. 2014. “Optimal test for Markov switch- ing parameters.” Econometrica 82 (2): 765–784.

roga11/MSTest_v1 documentation built on Dec. 22, 2021, 5:16 p.m.