calc_mu2t: Calc eq. 2.5 from CHP (2014) where only mean can switch

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

Description

When alternative only has Switching mean (and not variance), we only take the second derivative of the log likelihood function w.r.t mu and not phi or sigma.

Output from this function is used as input in chpStat

Usage

calc_mu2t(mdl, rho, ltmt)

Arguments

mdl	List containing model information
ltmt	List conatining derivatives (i.e. is the output when using chpDmat)
rho_b	bound for rho (nuisance param space)

Value

mu_2t from eq. 2.5 and used in test-statistic caluclation

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.