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 (2026a) <doi:10.34989/swp-2026-23> that can be used to identify the number of regimes in Markov switching models. For a detailed description of the package, see Rodriguez-Rondon & Dufour (2026b) <doi:10.34989/swp-2026-7>.
| Version: |
0.1.9 |
| Depends: |
R (≥ 4.0.0) |
| Imports: |
stats, rlang, nloptr, Rcpp (≥ 1.0.1), numDeriv, pracma, GenSA, pso, GA, graphics |
| LinkingTo: |
Rcpp, RcppArmadillo |
| Suggests: |
testthat (≥ 3.0.0), knitr, rmarkdown |
| Published: |
2026-07-13 |
| DOI: |
10.32614/CRAN.package.MSTest |
| Author: |
Gabriel Rodriguez-Rondon
 [cre, aut],
Jean-Marie Dufour [aut] |
| Maintainer: |
Gabriel Rodriguez-Rondon <gabrodriguezrondon at gmail.com> |
| 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 |
Documentation:
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