Dear R community, It seems that MSwM package provides three model diagnostic tools: pooled residuals plot, QQ plot and ACFs plot (via plotDiag). However, I cannot find any statistic to test the whole model significance (and even for each reported regime only multiple R^2 is provided).
After searching for the answer I found one paper (Lec-Markov_note.pdf in web) which states that there are two tests for MRSM model. The first has long description and essentially links to Hansen (1992) paper - it tests whether switching parameters are nuisance. The second test is H0: p00+p11=1 and can be tested with Wald test. So, my question is follows. How the first test can be performed in R and where to get variance of state probabilities to perform Wald test of second hypothesis (I couldn't find relevant data in MSM.lm object)? Thanks in advance, Best regards, Maxim Fomin ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
