inst/examples/CHPTest_examples.R

In roga11/MSTest: Hypothesis Testing for Markov Switching Models

# load data used in Hamilton 1989 
y84 <- as.matrix(hamilton84GNP$GNP_gr)


# Set test procedure options
control = list(N = 1000, 
               rho_b = 0.7, 
               msvar = FALSE)

# perform test with switch in mean only on Hamilton 1989 data
\donttest{
  mdl_84_msmu <- CHPTest(y84, p = 4, control = control)
  summary(mdl_84_msmu)
}