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

This function organizes the first and second derivatives of the log Likelihoood.

1	chpDmat(Mdl, var_switch = 1)

`Mdl`	is a list containing AR model components Specifically, it containg y, x, X (x plus constant), residuals, coefficients, stdev, logLike
`var_switch`	is an indicator = 1 if there is a switch in both Mean and Variance and = 0 if there is only a switch in the Mean. Less Second-Order dervatives are calculated if only the Mean is subject to regime switch.

List containing relevant first and second derivatves of log likelihood function.

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