calc_mu2t_mv: Calc eq. 2.5 from CHP (2014) where both mean and variance can...

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

Description

When alternative has bith switching mean and variance, we take the second derivative of the log likelihood function w.r.t mu, phi and sigma.

Output from this function is used as input in chpStat

Usage

calc_mu2t_mv(mdl, rho, ltmt, hv)

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.