chpStat {MSTest} | R Documentation |
Test statistic for CHP 2014 parameter stability test
Description
This function computes the supTS and expTS test-statistics proposed in CHP 2014.
Usage
chpStat(mdl, rho_b, ltmt, msvar)
Arguments
mdl |
List containing model attributes (see |
rho_b |
Number determining bounds for distribution of |
ltmt |
List containing derivatives output from |
msvar |
Boolean indicator. If |
Value
A (2 x 1
) vector with supTS test statistic as first element and expTS test-statistics as second element.
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]