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 |
msvar |
Boolean indicator. If |
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]