CHPbootCV {MSTest} | R Documentation |
Bootstrap critical values for CHP 2014 parameter stability test
Description
This bootstrap procedure is described on pg. 771 of CHP 2014.
Usage
CHPbootCV(mdl, rho_b, N, msvar)
Arguments
mdl |
List containing model attributes (see |
rho_b |
Number determining bounds for distribution of |
N |
Number of bootstrap simulations. |
msvar |
Boolean indicator. If |
Value
Bootstrap critical values
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]