NEWS.md

In roga11/MSTest: Hypothesis Testing for Markov Switching Models

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MSTest 0.1.5

• patch to compile following (Rcpp) Armadillo update (i.e., added proper namespace scopeas_scalar).

MSTest 0.1.2

• Made change to MSARmdl(), MSVARmdl(), and HMmdl(). Specifically, when msmu or msvar is FALSE, output list copies single regime value for each k regime. This is needed for simulating the null when either msmu or msvar is FALSE in LMCLRTest() and MMCLRTest().
• Added option to use different number of initial values for estimating MSMs with observed data vs. for null distribution (see documentation for LMCLRTest() and MMCLRTest()).
• Updated USGNP data set to include 2022 Q3.
• MMCLRTest() now has the option to add lower and upper bounds for autoregressive coefficients and transition probabilities to help reduce errors from polyroot() when optimizing. MMC_bounds() has been updated to reflect this.
• DLMMCTest() now has the option to add lower and upper bounds for autoregressive coefficients to help reduce errors from polyroot() when optimizing. DLMMC_bounds() has been created for this.
• Fixed error in bootCV() used by CHPTest(). When NaN occurs, new draw is used.
• Added option to allow user to specify 'mle_theta_low' and 'mle_theta_upp' which determine the lower and upper bounds for optimization in HMmdl(), MSARmdl(), and MSVARmdl() when "method='MLE'" is specified.
• print.CHPTest() now used two lines to print description.
• In HLRTest() user can now define entire grid for transition probabilities.
• added new optional optimization routine for HLRparamSearch() (nloptr::slsqp() can be used now).
• Fixed bug in HLRTest() where grid for sigma options are properly used now.
• Now using nearest_spd() from pracma instead of nearPD() from lmf package.
• Added classes for simulation functions
• Added new methods, namely: coef, fitted, predict, summary, residuals, nobs, plot
• Made changes to print method.
• Changed methods for models, namely: logLiklihood now uses logLik, and aic and bic now use AIC and BIC methods.
• Updated USGNP dataset to include data up to end of 2023.
• Updated README.md file with usage of new methods.
• Updated DESCRIPTION file for changed dependencies and new version.

MSTest 0.1.1

• Made changes to MMC LRT related functions for obtaining null distribution of statistical test.
• Added more examples. Examples that take long to complete are commented out but serve to get familiar with usage.
• Fixed bug related to using init_theta (setting initial values of parameters) when estimating Markov models (i.e. MSARmdl(), HMmdl(), and MSVARmdl()).
• Fixed bug in MMC_bound() when k0>1
• Updated DESCRIPTION file for new version.

MSTest 0.1.0

• Added a NEWS.md file to track changes to the package.
• Added a README.md file to describe the package.
• First public version of package.

roga11/MSTest documentation built on Feb. 25, 2025, 6:10 p.m.