Rao_test | R Documentation |
Rao_test
performs Rao's score test for a GSMVAR model
Rao_test(gsmvar)
gsmvar |
an object of class |
Tests the constraints imposed in the model given in the argument GSMVAR
.
This implementation uses the outer product of gradients approximation in the test statistic.
A list with class "hypotest" containing the test results and arguments used to calculate the test.
Buse A. (1982). The Likelihood Ratio, Wald, and Lagrange Multiplier Tests: An Expository Note. The American Statistician, 36(3a), 153-157.
LR_test
, Wald_test
, fitGSMVAR
, GSMVAR
, diagnostic_plot
,
profile_logliks
## These are long running examples that use parallel computing!
## The below examples take around 30 seconds to run.
# Structural GMVAR(2, 2), d=2 model with recursive identification
# with the AR matrices restricted to be the identical across the regimes:
W22 <- matrix(c(1, NA, 0, 1), nrow=2, byrow=FALSE)
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 null:
Rao_test(fit22sc)
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