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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_2024_MonteCarlo_LikelihoodRatioTest_MarkovSwitchingModels_20241015.pdf> that can be used to identify the number of regimes in Markov switching models.
Getting started
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Package details |
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| Author | Gabriel Rodriguez Rondon [cre, aut], Jean-Marie Dufour [aut] |
| Maintainer | Gabriel Rodriguez Rondon <gabriel.rodriguezrondon@mail.mcgill.ca> |
| License | GPL (>= 2) |
| Version | 0.1.3 |
| URL | https://github.com/roga11/MSTest |
| Package repository | View on CRAN |
| Installation |
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