Essentials of Time Series for Financial Applications

(9.74)

The p-value of an F-test applied to the $N\times 1$ vector of intercepts $\stackrel{\mathbf{ˆ}}{\mathbf{c}}$ and the $N\times N$ matrix of estimated coefficients $\stackrel{\mathbf{ˆ}}{\mathbf{\Upsilon }}$ (each row of coefficients can be simply estimated by OLS) gives the p-value for the null of $K-1$ regimes against the alternative ...