Package: MSTest 0.1.2

Gabriel Rodriguez Rondon

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/files/RodriguezRondon_Dufour_MonteCarlo_LikelihoodRatioTest_MarkovSwitchingModels.pdf> that can be used to identify the number of regimes in Markov switching models.

Authors:Gabriel Rodriguez Rondon [cre, aut], Jean-Marie Dufour [aut]

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NEWS

# Install 'MSTest' in R:

install.packages('MSTest', repos = c('https://roga11.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/roga11/mstest/issues

Uses libs:

openblas– Optimized BLAS
c++– GNU Standard C++ Library v3
openmp– GCC OpenMP (GOMP) support library

Datasets:

USGNP - US GNP data 1947Q2 - 2023Q4
chp10GNP - Carrasco, Hu, & Ploberger 2010 GNP data
hamilton84GNP - Hamilton 1984 & Hansen 1992 GNP data

On CRAN:

autoregressive bootstrap hypothesis-testing likelihood-ratio-test markov-chain moments monte-carlo non-linear regime-switching time-series

99 exports 0.89 score 14 dependencies 3 scripts 825 downloads

Last updated 4 months agofrom:ff1abb460e. Checks:OK: 4 NOTE: 5. Indexed: yes.

Target	Result	Date
Doc / Vignettes	OK	Aug 30 2024
R-4.5-win-x86_64	NOTE	Aug 30 2024
R-4.5-linux-x86_64	NOTE	Aug 30 2024
R-4.4-win-x86_64	NOTE	Aug 30 2024
R-4.4-mac-x86_64	NOTE	Aug 30 2024
R-4.4-mac-aarch64	NOTE	Aug 30 2024
R-4.3-win-x86_64	OK	Aug 30 2024
R-4.3-mac-x86_64	OK	Aug 30 2024
R-4.3-mac-aarch64	OK	Aug 30 2024

Exports:approx_dist_loop approxDistDL argrid_MSARmdl argrid_MSVARmdl ARmdl arP bootCV BootLRTest calc_DLmoments calc_mu2t calc_mu2t_mv calcResid_MSARmdl calcResid_MSVARmdl chpDmat chpStat CHPTest clike combine_stat companionMat compu_tstat cov2corr covar_unvech covar_vech DLMCTest DLMMC_bounds DLMMCpval_fun DLMMCpval_fun_min DLMMCTest dmclike EMaximization_HMmdl EMaximization_MSARmdl EMaximization_MSVARmdl EMiter_HMmdl EMiter_MSARmdl EMiter_MSVARmdl estimMdl ExpectationM_HMmdl ExpectationM_MSARmdl ExpectationM_MSVARmdl getHessian HLRparamSearch HLRTest HMmdl HMmdl_em HMmdl_mle initVals_HMmdl initVals_MSARmdl initVals_MSVARmdl interMSARmdl interMSVARmdl limP LMCLRTest logLike_ARmdl logLike_HMmdl logLike_HMmdl_min logLike_MSARmdl logLike_MSARmdl_min logLike_MSVARmdl logLike_MSVARmdl_min logLike_Nmdl logLike_VARmdl LR_samp_dist LR_samp_dist_par marklike mclike MCpval mdledit MMC_bounds MMCLRpval_fun MMCLRpval_fun_min MMCLRTest MSARmdl MSARmdl_em MSARmdl_mle MSVARmdl MSVARmdl_em MSVARmdl_mle Nmdl paramList_MSARmdl paramList_MSVARmdl randP randSN sim_DLmoments simuAR simuAR_cpp simuHMM simuHMM_cpp simuMdl simuMSAR simuMSAR_cpp simuMSVAR simuMSVAR_cpp simuNorm simuNorm_cpp simuVAR simuVAR_cpp thetaSE ts_lagged VARmdl

Dependencies:cli codetools crayon foreach GA GenSA iterators nloptr numDeriv pracma pso Rcpp RcppArmadillo rlang

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Testing Markov Switching Models	MSTest-package MSTest
Autoregressive Model	ARmdl
Bootstrap Likelihood Ratio Test	BootLRTest
Carrasco, Hu, & Ploberger 2010 GNP data	chp10GNP
Carrasco, Hu, and Ploberger (2014) parameter stability test	CHPTest
Monte Carlo moment-based test for Markov switching model	DLMCTest
Maximized Monte Carlo moment-based test for Markov switching model	DLMMCTest
Hamilton 1984 & Hansen 1992 GNP data	hamilton84GNP
Hansen (1992) likelihood ratio test	HLRTest
Hidden Markov model	HMmdl
Monte Carlo Likelihood Ratio Test	LMCLRTest
Monte Carlo P-value	MCpval
Maximized Monte Carlo Likelihood Ratio Test	MMCLRTest
Markov-switching autoregressive model	MSARmdl
Markov-switching vector autoregressive model	MSVARmdl
Normal distribution model	Nmdl
Simulate autoregressive process	simuAR
Simulate Hidden Markov model with normally distributed errors	simuHMM
Simulate Markov-switching autoregressive process	simuMSAR
Simulate Markov-switching vector autoregressive process	simuMSVAR
Simulate normally distributed process	simuNorm
Simulate VAR process	simuVAR
US GNP data 1947Q2 - 2023Q4	USGNP
Vector autoregressive model	VARmdl

Usage by other packages (reverse dependencies)