calcResid_MSVARmdl {MSTest}R Documentation

Markov-switching vector autoregressive model residuals

Description

This function computes residuals of a Markov-switching vector autoregressive model.

Usage

calcResid_MSVARmdl(mdl, mu, k)

Arguments

mdl

List containing relevant parameters.

mu

Vector with mean in each regime.

k

Number of regimes. Must be greater than or equal to 2.

Value

List with M (Txq) matrices of residuals in each regime M where M=k^(ar+1).


[Package MSTest version 0.1.5 Index]