calc_mu2t_mv function

Test statistic for switch in mean and variance

This function computes part of the test statistic given by eq. 2.5 of CHP 2014 when the alternative has switching mean and variance. The output is used in chpStat which computes the full test statistics.

calc_mu2t_mv(mdl, rho, ltmt, hv)

Arguments

• mdl: List containing model attributes (see ARmdl).
• rho: Number determining value of rho.
• ltmt: List containing derivatives output from chpDmat.
• hv: Number determining value of h.

Returns

Part of test statistic given rho and hv value.

References

Carrasco, Marine, Liang Hu, and Werner Ploberger. 2014. “Optimal test for Markov switching parameters.” Econometrica 82 (2): 765–784.