estimMdl function

Estimate model for likelihood ratio test

This function is used by the Monte Carlo testing procedures to estimate restricted and unrestricted models.

estimMdl(Y, p, q, k, Z = NULL, control = list())

Arguments

• Y: Series to be tested. Must be a (T x q) matrix.
• p: integer specifying the number of autoregressive lags.
• q: integer specifying the number of series.
• k: integer specifying the number of regimes.
• Z: exogeneous regressors. Defualt is NULL.
• control: List with control options for model estimation. For default values, see description of model being estimated.

Returns

List with estimated model properties.