compu_tstat function

Computes test stat using new parameter vectors

This function computes the LRT statistic.

compu_tstat(theta_h0, mdl_h0, LT_h1, p, q, k0, exog)

Arguments

• theta_h0: estimated parameter values for restricted model.
• mdl_h0: List with restricted model properties.
• LT_h1: Double specifying maximum log likelihood under alternative.
• p: integer specifying the number of autoregressive lags.
• q: integer specifying the number of series.
• k0: integer specifying the number of regimes under the null hypothesis.

Returns

LRT statistic