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 (2022) <https://grodriguezrondon.com/research/> that can be used to identify the number of regimes in Markov switching models.

Version: 0.1.1
Depends: R (≥ 4.0.0)
Imports: stats, rlang, nloptr, Rcpp (≥ 1.0.1), numDeriv, lmf, foreach, GenSA, pso, GA
LinkingTo: Rcpp, RcppArmadillo
Published: 2023-01-31
Author: Gabriel Rodriguez Rondon [cre, aut], Jean-Marie Dufour [aut]
Maintainer: Gabriel Rodriguez Rondon <gabriel.rodriguezrondon at mail.mcgill.ca>
License: GPL (≥ 3)
URL: https://github.com/roga11/MSTest
NeedsCompilation: yes
SystemRequirements: C++17
Materials: README NEWS
CRAN checks: MSTest results

Documentation:

Reference manual: MSTest.pdf

Downloads:

Package source: MSTest_0.1.1.tar.gz
Windows binaries: r-devel: MSTest_0.1.1.zip, r-release: MSTest_0.1.0.zip, r-oldrel: MSTest_0.1.0.zip
macOS binaries: r-release (arm64): MSTest_0.1.1.tgz, r-oldrel (arm64): MSTest_0.1.1.tgz, r-release (x86_64): MSTest_0.1.0.tgz, r-oldrel (x86_64): MSTest_0.1.0.tgz
Old sources: MSTest archive

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