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MSTest  

Hypothesis Testing for Markov Switching Models
View on CRAN: Click here


Download and install MSTest package within the R console
Install from CRAN:
install.packages("MSTest")

Install from Github:
library("remotes")
install_github("cran/MSTest")

Install by package version:
library("remotes")
install_version("MSTest", "0.1.3")



Attach the package and use:
library("MSTest")
Maintained by
Gabriel Rodriguez Rondon
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2022-10-19
Latest Update: 2023-01-31
Description:
Implementation of hypothesis testing procedures described in Hansen (1992) , Carrasco, Hu, & Ploberger (2014) , Dufour & Luger (2017) , and Rodriguez Rondon & Dufour (2022) that can be used to identify the number of regimes in Markov switching models.
How to cite:
Gabriel Rodriguez Rondon (2022). MSTest: Hypothesis Testing for Markov Switching Models. R package version 0.1.3, https://cran.r-project.org/web/packages/MSTest. Accessed 22 Dec. 2024.
Previous versions and publish date:
0.1.0 (2022-10-19 12:28), 0.1.1 (2023-01-31 23:10), 0.1.2 (2024-05-31 21:12)
Other packages that cited MSTest R package
View MSTest citation profile
Other R packages that MSTest depends, imports, suggests or enhances
Complete documentation for MSTest
Functions, R codes and Examples using the MSTest R package
Some associated functions: ARmdl . BootLRTest . CHPTest . DLMCTest . DLMMCTest . DLMMCpval_fun . DLMMCpval_fun_min . EMaximization_HMmdl . EMaximization_MSARmdl . EMaximization_MSVARmdl . EMiter_HMmdl . EMiter_MSARmdl . EMiter_MSVARmdl . ExpectationM_HMmdl . ExpectationM_MSARmdl . ExpectationM_MSVARmdl . HLRTest . HLRparamSearch . HMmdl . HMmdl_em . HMmdl_mle . LMCLRTest . LR_samp_dist . LR_samp_dist_par . MCpval . MMCLRTest . MMCLRpval_fun . MMCLRpval_fun_min . MMC_bounds . MSARmdl . MSARmdl_em . MSARmdl_mle . MSTest-package . MSVARmdl . MSVARmdl_em . MSVARmdl_mle . Nmdl . USGNP . VARmdl . aic . approxDistDL . approx_dist_loop . arP . argrid_MSARmdl . argrid_MSVARmdl . bic . bootCV . calcResid_MSARmdl . calcResid_MSVARmdl . calc_DLmoments . calc_mu2t . calc_mu2t_mv . chp10GNP . chpDmat . chpStat . clike . combine_stat . companionMat . compu_tstat . cov2corr . covar_unvech . covar_vech . dmclike . estimMdl . getHessian.ARmdl . getHessian.HMmdl . getHessian.MSARmdl . getHessian.MSVARmdl . getHessian.Nmdl . getHessian.VARmdl . getHessian . hamilton84GNP . initVals_HMmdl . initVals_MSARmdl . initVals_MSVARmdl . limP . logLike_ARmdl . logLike_HMmdl . logLike_HMmdl_min . logLike_MSARmdl . logLike_MSARmdl_min . logLike_MSVARmdl . logLike_MSVARmdl_min . logLike_Nmdl . logLike_VARmdl . logLikelihood.ARmdl . logLikelihood.HMmdl . logLikelihood.MSARmdl . logLikelihood.MSVARmdl . logLikelihood.Nmdl . logLikelihood.VARmdl . logLikelihood . marklike . mclike . mdledit . paramList_MSARmdl . paramList_MSVARmdl . print.ARmdl . print.BootLRTest . print.CHPTest . print.DLMCTest . print.DLMMCTest . print.HLRTest . print.HMmdl . print.LMCLRTest . print.MMCLRTest . print.MSARmdl . print.MSVARmdl . print.Nmdl . print.VARmdl . randP . randSN . sim_DLmoments . simuAR . simuHMM . simuMSAR . simuMSVAR . simuMdl . simuNorm . simuVAR . thetaSE . ts_lagged . 
Some associated R codes: RcppExports.R . data.R . methods.R . methods_CHPTest.R . methods_HLRTest.R . methods_LRTest.R . methods_MomentTest.R . models.R . roxyrcppexp.R .  Full MSTest package functions and examples
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