HLRparamSearch {MSTest}R Documentation

HLR param search

Description

This function performs the parameter grid search needed for the likelihood ratio test described in Hansen (1992).

Usage

HLRparamSearch(gx, gp, gq, b, null, HLR_opt_ls)

Arguments

gx

matrix/grid containing values for switching parameters in second regime.

gp

matrix/grid containing values for probability of going from regime 1 at (t) to regime 1 at (t+1).

gq

matrix/grid containing values for probability of going from regime 2 at (t) to regime 2 at (t+1) (if not bounded to be 1-p i.e., qbound=FALSE).

b

vector of initial parameter values of restricted model.

null

vector with likelihood under the null hypothesis.

HLR_opt_ls

List with model properties and test controls defined in HLRTest().

Value

List which contains:


[Package MSTest version 0.1.5 Index]