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/research/> that can be used to identify the number of regimes in Markov switching models.
| Version: |
0.1.0 |
| Depends: |
R (≥ 4.0.0) |
| Imports: |
stats, rlang, nloptr, Rcpp (≥ 1.0.1), numDeriv, lmf, foreach, GenSA, pso, GA |
| LinkingTo: |
Rcpp, RcppArmadillo |
| Published: |
2022-10-19 |
| Author: |
Gabriel Rodriguez Rondon [cre, aut],
Jean-Marie Dufour [aut] |
| Maintainer: |
Gabriel Rodriguez Rondon <gabriel.rodriguezrondon at mail.mcgill.ca> |
| License: |
GPL (≥ 3) |
| URL: |
https://github.com/roga11/MSTest |
| NeedsCompilation: |
yes |
| Materials: |
README |
| CRAN checks: |
MSTest results |
Documentation:
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