Man pages for MSTest
Hypothesis Testing for Markov Switching Models
| AIC.ARmdl | AIC of a 'ARmdl' object |
| AIC.HMmdl | AIC of a 'HMmdl' object |
| AIC.MSARmdl | AIC of a 'MSARmdl' object |
| AIC.MSVARmdl | AIC of a 'MSVARmdl' object |
| AIC.Nmdl | AIC of a 'Nmdl' object |
| AIC.VARmdl | AIC of a 'VARmdl' object |
| approxDistDL | Approximate CDF distribution |
| approx_dist_loop | Loop for 'approxDistDL' |
| argrid_MSARmdl | Autoregressive moment grid |
| argrid_MSVARmdl | Vector autoregressive moment grid |
| ARmdl | Autoregressive Model |
| arP | Autoregressive transition matrix |
| ARXmdl | Autoregressive X Model |
| BIC.ARmdl | BIC of a 'ARmdl' object |
| BIC.HMmdl | BIC of a 'HMmdl' object |
| BIC.MSARmdl | BIC of a 'MSARmdl' object |
| BIC.MSVARmdl | BIC of a 'MSVARmdl' object |
| BIC.Nmdl | BIC of a 'Nmdl' object |
| BIC.VARmdl | BIC of a 'VARmdl' object |
| calc_DLmoments | Moment-based test statistics |
| calc_mu2t | Test statistic for switch in mean only |
| calc_mu2t_mv | Test statistic for switch in mean and variance |
| calcResid_MSARmdl | Markov-switching autoregressive model residuals |
| calcResid_MSARXmdl | Markov-switching autoregressive model residuals |
| calcResid_MSVARmdl | Markov-switching vector autoregressive model residuals |
| calcResid_MSVARXmdl | Markov-switching VARX model residuals |
| chp10GNP | Carrasco, Hu, & Ploberger 2010 GNP data |
| CHPbootCV | Bootstrap critical values for CHP 2014 parameter stability... |
| chpDmat | Derivative matrix |
| chpStat | Test statistic for CHP 2014 parameter stability test |
| CHPTest | Carrasco, Hu, and Ploberger (2014) parameter stability test |
| clike | Parameter vector & likelihood function used by 'HLRTest()' |
| coef.ARmdl | coef of a 'ARmdl' object |
| coef.HMmdl | coef of a 'HMmdl' object |
| coef.MSARmdl | coef of a 'MSARmdl' object |
| coef.MSVARmdl | coef of a 'MSVARmdl' object |
| coef.Nmdl | coef of a 'Nmdl' object |
| coef.VARmdl | coef of a 'VARmdl' object |
| combine_stat | Combine p-values |
| companionMat | Companion Matrix |
| compu_tstat | Computes test stat using new parameter vectors |
| cov2corr | Covariance to correlation matrix |
| covar_unvech | Covariance vech to matrix |
| covar_vech | Covariance vech function |
| DLMCTest | Monte Carlo moment-based test for Markov switching model |
| DLMMC_bounds | MMC nuisance parameter bounds for Moment-based test |
| DLMMCpval_fun | Moment-based MMC test p-value |
| DLMMCpval_fun_min | Moment-based MMC test (negative) p-value |
| DLMMCTest | Maximized Monte Carlo moment-based test for Markov switching... |
| dmclike | Gradient of likelihood function. |
| EMaximization_HMmdl | Maximization step of EM algorithm for Hidden Markov model |
| EMaximization_MSARmdl | Maximization step of EM algorithm for Markov-switching... |
| EMaximization_MSARXmdl | Maximization step of EM algorithm for Markov-switching ARX... |
| EMaximization_MSVARmdl | Maximization step of EM algorithm for Markov-switching vector... |
| EMaximization_MSVARXmdl | Maximization step of EM algorithm for Markov-switching VARX... |
| EMiter_HMmdl | EM algorithm iteration for Hidden Markov model |
| EMiter_MSARmdl | EM algorithm iteration for Markov-switching autoregressive... |
| EMiter_MSARXmdl | EM algorithm iteration for Markov-switching ARX model |
| EMiter_MSVARmdl | EM algorithm iteration for Markov-switching vector... |
| EMiter_MSVARXmdl | EM algorithm iteration for Markov-switching VARX model |
| estimMdl | Estimate model for likelihood ratio test |
| ExpectationM_HMmdl | Hidden Markov model log-likelihood function |
| ExpectationM_MSARmdl | Markov-switching autoregressive log-likelihood function |
| ExpectationM_MSARXmdl | Markov-switching ARX log-likelihood function |
| ExpectationM_MSVARmdl | Markov-switching vector autoregressive log-likelihood... |
| ExpectationM_MSVARXmdl | Markov-switching VARX log-likelihood function |
| fitted.ARmdl | fitted values of a 'ARmdl' object |
| fitted.HMmdl | fitted values of a 'HMmdl' object |
| fitted.MSARmdl | fitted values of a 'MSARmdl' object |
| fitted.MSVARmdl | fitted values of a 'MSVARmdl' object |
| fitted.Nmdl | fitted values of a 'Nmdl' object |
| fitted.VARmdl | fitted values of a 'VARmdl' object |
| getHessian | Hessian matrix |
| getHessian.ARmdl | Hessian matrix of autoregressive model |
| getHessian.HMmdl | Hessian matrix of Hidden Markov model |
| getHessian.MSARmdl | Hessian matrix of Markov-switching autoregressive model |
| getHessian.MSVARmdl | Hessian matrix of Markov-switching vector autoregressive... |
| getHessian.Nmdl | Hessian matrix of normal model |
| getHessian.VARmdl | Hessian matrix of vector autoregressive model |
| hamilton84GNP | Hamilton 1984 & Hansen 1992 GNP data |
| HLRparamSearch | HLR param search |
| HLRTest | Hansen (1992) likelihood ratio test |
| HMmdl | Hidden Markov model |
| HMmdl_em | Estimation of Hidden Markov model by EM Algorithm |
| HMmdl_mle | Hidden Markov model maximum likelihood estimation |
| initVals_HMmdl | Initial values for Hidden Markov model |
| initVals_MSARmdl | Initial values for Markov-switching autoregressive model |
| initVals_MSARXmdl | Initial values for Markov-switching ARX model |
| initVals_MSVARmdl | Initial values for Markov-switching vector autoregressive... |
| initVals_MSVARXmdl | Initial values for Markov-switching VARX model |
| interMSARmdl | Intercept from mu for MSARmdl |
| interMSVARmdl | Intercept from mu for MSVARmdl |
| limP | Ergodic (limiting) probabilities of states |
| LMCLRTest | Monte Carlo Likelihood Ratio Test |
| logLik.ARmdl | Log likelihood for autoregressive model |
| logLike_ARmdl | Autoregressive log-likelihood objective function |
| logLike_ARXmdl | ARX log-likelihood objective function |
| logLike_HMmdl | Hidden Markov model log-likelihood function |
| logLike_HMmdl_min | Hidden Markov model log-likelihood function (minimization... |
| logLike_MSARmdl | Markov-switching autoregressive log-likelihood objective... |
| logLike_MSARmdl_min | Markov-switching autoregressive log-likelihood objective... |
| logLike_MSARXmdl | Markov-switching ARX log-likelihood objective function |
| logLike_MSARXmdl_min | Markov-switching ARX log-likelihood objective function... |
| logLike_MSVARmdl | Markov-switching vector autoregressive log-likelihood... |
| logLike_MSVARmdl_min | Markov-switching vector autoregressive log-likelihood... |
| logLike_MSVARXmdl | Markov-switching VARX log-likelihood objective function |
| logLike_MSVARXmdl_min | Markov-switching VARX log-likelihood objective function... |
| logLike_Nmdl | Normal log-likelihood objective function |
| logLike_VARmdl | Vector autoregressive log-likelihood objective function |
| logLike_VARXmdl | VARX log-likelihood objective function |
| logLik.HMmdl | Log likelihood for Hidden Markov model |
| logLik.MSARmdl | Log likelihood for Markov-switching autoregressive model |
| logLik.MSVARmdl | Log likelihood for Markov-switching vector autoregressive... |
| logLik.Nmdl | Log likelihood for Normal model |
| logLik.VARmdl | Log likelihood for vector autoregressive model |
| LR_samp_dist | Likelihood Ratio Test Statistic Sample Distribution |
| LR_samp_dist_par | Monte Carlo Likelihood Ratio Test sample distribution... |
| marklike | Likelihood function used by 'HLRTest()' |
| mclike | Sum of likelihood used by 'HLRTest()' |
| MCpval | Monte Carlo P-value |
| mdledit | Change model List with new parameters |
| MMC_bounds | MMC nuisance parameter bounds |
| MMCLRpval_fun | Monte Carlo Likelihood Ratio Test P-value Function |
| MMCLRpval_fun_min | Monte Carlo Likelihood Ratio Test P-value Function |
| MMCLRTest | Maximized Monte Carlo Likelihood Ratio Test |
| MSARmdl | Markov-switching autoregressive model |
| MSARmdl_em | Estimation of Markov-switching autoregressive model by EM... |
| MSARmdl_mle | Markov-switching autoregressive maximum likelihood estimation |
| MSARXmdl | Markov-switching autoregressive model |
| MSARXmdl_em | Estimation of Markov-switching ARX model by EM Algorithm |
| MSTest-package | Testing Markov Switching Models |
| MSVARmdl | Markov-switching vector autoregressive model |
| MSVARmdl_em | Estimation of Markov-switching vector autoregressive model by... |
| MSVARmdl_mle | Markov-switching vector autoregressive maximum likelihood... |
| MSVARXmdl | Markov-switching vector autoregressive model |
| MSVARXmdl_em | Estimation of Markov-switching VARX model by EM Algorithm |
| Nmdl | Normal distribution model |
| nobs.ARmdl | Nobs of a 'ARmdl' object |
| nobs.HMmdl | Nobs of a 'HMmdl' object |
| nobs.MSARmdl | Nobs of a 'MSARmdl' object |
| nobs.MSVARmdl | Nobs of a 'MSVARmdl' object |
| nobs.Nmdl | Nobs of a 'Nmdl' object |
| nobs.VARmdl | Nobs of a 'VARmdl' object |
| paramList_MSARmdl | Parameter list for Markov-switching autoregressive model |
| paramList_MSARXmdl | Parameter list for Markov-switching ARX model |
| paramList_MSVARmdl | Parameter list for Markov-switching vector autoregressive... |
| paramList_MSVARXmdl | Parameter list for Markov-switching VARX model |
| plot.ARmdl | Plot of a 'ARmdl' object |
| plot.Hmmdl | Plot of a 'HMmdl' object |
| plot.MSARmdl | Plot of a 'MSARmdl' object |
| plot.MSVARmdl | Plot of a 'MSVARmdl' object |
| plot.Nmdl | Plot of a 'Nmdl' object |
| plot.simuAR | Plot of a 'simuAR' object |
| plot.simuARX | Plot of a 'simuARX' object |
| plot.simuHMM | Plot of a 'simuHMM' object |
| plot.simuMSAR | Plot of a 'simuMSAR' object |
| plot.simuMSARX | Plot of a 'simuMSARX' object |
| plot.simuMSVAR | Plot of a 'simuMSVAR' object |
| plot.simuMSVARX | Plot of a 'simuMSVARX' object |
| plot.simuNorm | Plot of a 'simuNorm' object |
| plot.simuVAR | Plot of a 'simuVAR' object |
| plot.simuVARX | Plot of a 'simuVARX' object |
| plot.VARmdl | Plot of a 'VARmdl' object |
| predict.ARmdl | Predict for a 'ARmdl' object |
| predict.HMmdl | Predict for a 'HMmdl' object |
| predict.MSARmdl | Predict for a 'MSARmdl' object |
| predict.MSVARmdl | Predict for a 'MSVARmdl' object |
| predict.Nmdl | Predict for a 'Nmdl' object |
| predict.VARmdl | Predict for a 'VARmdl' object |
| print.ARmdl | Print summary of an 'ARmdl' object |
| print.BootLRTest | Print summary of a 'BootLRTest' object |
| print.CHPTest | Print summary of a 'CHPTest' object |
| print.DLMCTest | Print summary of a 'DLMCTest' object |
| print.DLMMCTest | Print summary of a 'DLMMCTest' object |
| print.HLRTest | Print summary of a 'CHPTest' object |
| print.HMmdl | Print summary of a 'HMmdl' object |
| print.LMCLRTest | Print summary of a 'LMCLRTest' object |
| print.MMCLRTest | Print summary of a 'MMCLRTest' object |
| print.MSARmdl | Print summary of a 'MSARmdl' object |
| print.MSVARmdl | Print summary of a 'MSVARmdl' object |
| print.Nmdl | Print summary of a 'Nmdl' object |
| print.VARmdl | Print summary of an 'VARmdl' object |
| randP | Random Transition Matrix |
| randSN | Standard normal errors using box Muller |
| residuals.ARmdl | residuals of a 'ARmdl' object |
| residuals.HMmdl | residuals of a 'HMmdl' object |
| residuals.MSARmdl | residuals of a 'MSARmdl' object |
| residuals.MSVARmdl | residuals of a 'MSVARmdl' object |
| residuals.Nmdl | residuals of a 'Nmdl' object |
| residuals.VARmdl | residuals of a 'VARmdl' object |
| sim_DLmoments | Simulated moment-based test statistics |
| simuAR | Simulate autoregressive process |
| simuAR_cpp | Simulate autoregressive process |
| simuARX | Simulate autoregressive X process |
| simuARX_cpp | Simulate autoregressive process with exogenous regressors |
| simuHMM | Simulate Hidden Markov model with normally distributed errors |
| simuHMM_cpp | Simulate Hidden Markov model with normally distributed errors |
| simuMdl | Likelihood ratio test statistic sample distribution |
| simuMSAR | Simulate Markov-switching autoregressive process |
| simuMSAR_cpp | Simulate Markov-switching autoregressive process |
| simuMSARX | Simulate Markov-switching ARX process |
| simuMSARX_cpp | Simulate Markov-switching ARX process |
| simuMSVAR | Simulate Markov-switching vector autoregressive process |
| simuMSVAR_cpp | Simulate Markov-switching vector autoregressive process |
| simuMSVARX | Simulate Markov-switching VARX process |
| simuMSVARX_cpp | Simulate Markov-switching VARX process |
| simuNorm | Simulate normally distributed process |
| simuNorm_cpp | Simulate normally distributed process |
| simuVAR | Simulate VAR process |
| simuVAR_cpp | Simulate VAR process |
| simuVARX | Simulate VAR process |
| simuVARX_cpp | Simulate VARX process |
| summary.ARmdl | Summary of an 'ARmdl' object |
| summary.BootLRTest | Summary of a 'BootLRTest' object |
| summary.CHPTest | Summary of a 'CHPTest' object |
| summary.DLMCTest | summaryummary of a 'DLMCTest' object |
| summary.DLMMCTest | Summary of a 'DLMMCTest' object |
| summary.HLRTest | Summary of a 'CHPTest' object |
| summary.HMmdl | Summary of a 'HMmdl' object |
| summary.LMCLRTest | Summary of a 'LMCLRTest' object |
| summary.MMCLRTest | Summary of a 'MMCLRTest' object |
| summary.MSARmdl | Summary of a 'MSARmdl' object |
| summary.MSVARmdl | Summary of a 'MSVARmdl' object |
| summary.Nmdl | Summary of a 'Nmdl' object |
| summary.VARmdl | Summary of an 'VARmdl' object |
| thetaSE | Theta standard errors |
| ts_lagged | Lagged Time Series Data |
| USGNP | US GNP data 1947Q2 - 2024Q2 |
| USRGDP | US Real GDP data 1947Q2 - 2024Q2 |
| VARmdl | Vector autoregressive model |
| VARXmdl | Vector X autoregressive model |
