chpDmat {MSTest}R Documentation

Derivative matrix

Description

This function organizes the first and second derivatives of the log-likelihood.

Usage

chpDmat(mdl, msvar)

Arguments

mdl

List containing output from ARmdl.

msvar

Boolean indicator. If TRUE, there is a switch in variance. If FALSE only switch in mean is considered.

Value

List containing relevant first and second derivatives of log-likelihood function.

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]