calc_DLmoments {MSTest} | R Documentation |
Moment-based test statistics
Description
This function computes the four moment-based test statistics (eq. 11
- 14
) discussed in Dufour & Luger 2017.
Usage
calc_DLmoments(ehat)
Arguments
ehat |
A ( |
Value
Vector containing the four test statistics.
References
Dufour, J. M., & Luger, R. 2017. "Identification-robust moment-based tests for Markov switching in autoregressive models." Econometric Reviews, 36(6-9), 713-727.
[Package MSTest version 0.1.5 Index]