mdledit function

Change model List with new parameters

This function is used by the MMC LRT procedure. It makes a copy of the restricted model under the null hypothesis and changes the parameters used to simulate the process under the null with values being considered in the search/optimization.

mdledit(mdl_h0, theta_h0, p, q, k0, exog)

Arguments

• mdl_h0: List with restricted model properties.
• theta_h0: vector of parameter values under null being considered.
• p: integer specifying the number of autoregressive lags.
• q: integer specifying the number of series.
• k0: integer specifying the number of regimes.

Returns

List with model properties