LR_test | R Documentation |
LR_test
performs a likelihood ratio test for a GMVAR, StMVAR, or G-StMVAR model
LR_test(gsmvar1, gsmvar2)
gsmvar1 |
an object of class |
gsmvar2 |
an object of class |
Performs a likelihood ratio test, testing the null hypothesis that the true parameter value lies
in the constrained parameter space. Under the null, the test statistic is asymptotically
\chi^2
-distributed with k
degrees of freedom, k
being the difference in the dimensions
of the unconstrained and constrained parameter spaces.
Note that this function does not verify that the two models are actually nested.
A list with class "hypotest" containing the test results and arguments used to calculate the test.
Kalliovirta L., Meitz M. and Saikkonen P. 2016. Gaussian mixture vector autoregression. Journal of Econometrics, 192, 485-498.
Virolainen S. (forthcoming). A statistically identified structural vector autoregression with endogenously switching volatility regime. Journal of Business & Economic Statistics.
Virolainen S. 2022. Gaussian and Student's t mixture vector autoregressive model with application to the asymmetric effects of monetary policy shocks in the Euro area. Unpublished working paper, available as arXiv:2109.13648.
@keywords internal
Wald_test
, Rao_test
, fitGSMVAR
, GSMVAR
, diagnostic_plot
,
profile_logliks
, quantile_residual_tests
, cond_moment_plot
## These are long running examples that use parallel computing!
## The below examples take around 1 minute to run.
# Structural GMVAR(2, 2), d=2 model with recursive identification
W22 <- matrix(c(1, NA, 0, 1), nrow=2, byrow=FALSE)
fit22s <- fitGSMVAR(gdpdef, p=2, M=2, structural_pars=list(W=W22),
ncalls=1, seeds=2)
# The same model but the AR coefficients restricted to be the same
# in both regimes:
C_mat <- rbind(diag(2*2^2), diag(2*2^2))
fit22sc <- fitGSMVAR(gdpdef, p=2, M=2, constraints=C_mat,
structural_pars=list(W=W22), ncalls=1, seeds=1)
# Test the AR constraints with likelihood ratio test:
LR_test(fit22s, fit22sc)
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.