HLRparamSearch function

HLR param search

This function performs the parameter grid search needed for the likelihood ratio test described in Hansen (1992).

HLRparamSearch(gx, gp, gq, b, null, HLR_opt_ls)

Arguments

• gx: matrix/grid containing values for switching parameters in second regime.
• gp: matrix/grid containing values for probability of going from regime 1 at (t) to regime 1 at (t+1).
• gq: matrix/grid containing values for probability of going from regime 2 at (t) to regime 2 at (t+1) (if not bounded to be 1-p i.e., qbound=FALSE).
• b: vector of initial parameter values of restricted model.
• null: vector with likelihood under the null hypothesis.
• HLR_opt_ls: List with model properties and test controls defined in HLRTest().

Returns

List which contains:

• cs: Vector with standardized LRT statistic for each grid point.
• draws: List with a (nwband+1 x N matrix for each grid point. Each row of these matrices is a vector of simulated test statistics under the null hypothesis for a value of bandwidth .
• coefficients: A matrix with coefficients for each grid point.