calc_mu2t {MSTest} | R Documentation |
Test statistic for switch in mean only
Description
This function computes part of the test statistic given by
eq. 2.5 of CHP 2014 when the alternative has switching mean only. The output
is used in chpStat
which computes the full test statistics.
Usage
calc_mu2t(mdl, rho, ltmt)
Arguments
mdl |
List containing model attributes (see |
rho |
Number determining value of |
ltmt |
List containing derivatives output from |
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]