MSTest: Hypothesis Testing for Markov Switching Models
Implementation of hypothesis testing procedures described in Hansen (1992) <doi:10.1002/jae.3950070506>, Carrasco, Hu, & Ploberger (2014) <doi:10.3982/ECTA8609>, Dufour & Luger (2017) <doi:10.1080/07474938.2017.1307548>, and Rodriguez Rondon & Dufour (2024) <https://grodriguezrondon.com/files/RodriguezRondon_Dufour_2025_MonteCarlo_LikelihoodRatioTest_MarkovSwitchingModels_20251014.pdf> that can be used to identify the number of regimes in Markov switching models.
| Version: | 0.1.6 |
| Depends: | R (≥ 4.0.0) |
| Imports: | stats,rlang,nloptr,Rcpp (≥ 1.0.1),numDeriv,pracma,foreach,GenSA,pso,GA, graphics |
| LinkingTo: | Rcpp,RcppArmadillo |
| Published: | 2025-10-23 |
| DOI: | 10.32614/CRAN.package.MSTest |
| Author: | Gabriel Rodriguez Rondon [cre, aut], Jean-Marie Dufour [aut] |
| Maintainer: | Gabriel Rodriguez Rondon <gabriel.rodriguezrondon at mail.mcgill.ca> |
| BugReports: | https://github.com/roga11/MSTest/issues |
| License: | GPL-2 |GPL-3 [expanded from: GPL (≥ 2)] |
| URL: | https://github.com/roga11/MSTest |
| NeedsCompilation: | yes |
| SystemRequirements: | C++17 |
| Materials: | README,NEWS |
| CRAN checks: | MSTest results |
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