chpStat function

Test statistic for CHP 2014 parameter stability test

This function computes the supTS and expTS test-statistics proposed in CHP 2014.

chpStat(mdl, rho_b, ltmt, msvar)

Arguments

• mdl: List containing model attributes (see ARmdl).
• rho_b: Number determining bounds for distribution of rh0 (i.e. rho ~ [-rho_b,rho_b]).
• ltmt: List containing derivatives output from chpDmat.
• msvar: Boolean indicator. If TRUE, there is a switch in variance. If FALSE only switch in mean is considered.

Returns

A (2 x 1) vector with supTS test statistic as first element and expTS test-statistics as second element.

References

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