chpDmat function

Derivative matrix

This function organizes the first and second derivatives of the log-likelihood.

chpDmat(mdl, msvar)

Arguments

• mdl: List containing output from ARmdl.
• msvar: Boolean indicator. If TRUE, there is a switch in variance. If FALSE only switch in mean is considered.

Returns

List containing relevant first and second derivatives of log-likelihood function.

References

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