calc_mu2t_mv {MSTest} | R Documentation |
Test statistic for switch in mean and variance
Description
This function computes part of the test statistic given by
eq. 2.5 of CHP 2014 when the alternative has switching mean and variance.
The output is used in chpStat
which computes the full test
statistics.
Usage
calc_mu2t_mv(mdl, rho, ltmt, hv)
Arguments
mdl |
List containing model attributes (see |
rho |
Number determining value of |
ltmt |
List containing derivatives output from |
hv |
Number determining value of |
Value
Part of test statistic given rho
and hv
value.
References
Carrasco, Marine, Liang Hu, and Werner Ploberger. 2014. “Optimal test for Markov switching parameters.” Econometrica 82 (2): 765–784.
[Package MSTest version 0.1.5 Index]