calcResid_MSVARmdl {MSTest} | R Documentation |
Markov-switching vector autoregressive model residuals
Description
This function computes residuals of a Markov-switching vector autoregressive model.
Usage
calcResid_MSVARmdl(mdl, mu, k)
Arguments
mdl |
List containing relevant parameters. |
mu |
Vector with mean in each regime. |
k |
Number of regimes. Must be greater than or equal to |
Value
List with M
(Txq
) matrices of residuals in each regime M
where M=k^(ar+1)
.
[Package MSTest version 0.1.5 Index]