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 (2024) <https://grodriguezrondon.com/files/RodriguezRondon_Dufour_2025_MonteCarlo_LikelihoodRatioTest_MarkovSwitchingModels_20251014.pdf> that can be used to identify the number of regimes in Markov switching models.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.1.8 |
rolling linux/jammy R-4.5 | MSTest_0.1.8.tar.gz |
1.2 MiB |
0.1.8 |
rolling linux/noble R-4.5 | MSTest_0.1.8.tar.gz |
1.3 MiB |
0.1.8 |
rolling source/ R- | MSTest_0.1.8.tar.gz |
209.8 KiB |
0.1.8 |
latest linux/jammy R-4.5 | MSTest_0.1.8.tar.gz |
1.2 MiB |
0.1.8 |
latest linux/noble R-4.5 | MSTest_0.1.8.tar.gz |
1.3 MiB |
0.1.8 |
latest source/ R- | MSTest_0.1.8.tar.gz |
209.8 KiB |
0.1.8 |
2026-04-26 source/ R- | MSTest_0.1.8.tar.gz |
209.8 KiB |
0.1.8 |
2026-04-23 source/ R- | MSTest_0.1.8.tar.gz |
209.8 KiB |
0.1.8 |
2026-04-09 windows/windows R-4.5 | MSTest_0.1.8.zip |
1.6 MiB |
0.1.5 |
2025-04-20 source/ R- | MSTest_0.1.5.tar.gz |
210.5 KiB |