calcResid_MSVARXmdl function

Markov-switching VARX model residuals

This function computes residuals of a Markov-switching VARX model.

calcResid_MSVARXmdl(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.

Returns

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