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: |
0.1.8 |
| Depends: |
R (≥ 4.0.0) |
| Imports: |
stats, rlang, nloptr, Rcpp (≥ 1.0.1), numDeriv, pracma, foreach, GenSA, pso, GA, graphics |
| LinkingTo: |
Rcpp, RcppArmadillo |
| Published: |
2026-01-09 |
| 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 |
Documentation:
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