compu_tstat {MSTest} | R Documentation |
Computes test stat using new parameter vectors
Description
This function computes the LRT statistic.
Usage
compu_tstat(theta_h0, mdl_h0, LT_h1, p, q, k0, exog)
Arguments
theta_h0 |
estimated parameter values for restricted model. |
mdl_h0 |
List with restricted model properties. |
LT_h1 |
Double specifying maximum log likelihood under alternative. |
p |
integer specifying the number of autoregressive lags. |
q |
integer specifying the number of series. |
k0 |
integer specifying the number of regimes under the null hypothesis. |
Value
LRT statistic
[Package MSTest version 0.1.5 Index]