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/files/RodriguezRondon_Dufour_MonteCarlo_LikelihoodRatioTest_MarkovSwitchingModels.pdf> that can be used to identify the number of regimes in Markov switching models.
Version: |
0.1.2 |
Depends: |
R (≥ 4.0.0) |
Imports: |
stats, rlang, nloptr, Rcpp (≥ 1.0.1), numDeriv, pracma, foreach, GenSA, pso, GA, graphics |
LinkingTo: |
Rcpp, RcppArmadillo |
Published: |
2024-05-31 |
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:
Downloads:
Linking:
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