Package: MSTest 0.1.9.9015

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 (2026a) <doi:10.34989/swp-2026-23> that can be used to identify the number of regimes in Markov switching models. For a detailed description of the package, see Rodriguez-Rondon & Dufour (2026b) <doi:10.34989/swp-2026-7>.

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

# 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

Datasets:

chp10GNP - Carrasco, Hu, & Ploberger 2010 GNP data
hamilton84GNP - Hamilton 1984 & Hansen 1992 GNP data
USGNP - US GNP data 1947Q2 - 2024Q2
USRGDP - US Real GDP data 1947Q2 - 2024Q2

On CRAN:

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

5.60 score 6 stars 12 scripts 461 downloads 138 exports 14 dependencies

Last updated from:030123697a. Checks:15 OK. Indexed: yes.

Target	Result	Time
linux-devel-arm64	OK	215
linux-devel-x86_64	OK	194
source / vignettes	OK	337
linux-release-arm64	OK	183
linux-release-x86_64	OK	211
macos-release-arm64	OK	187
macos-release-x86_64	OK	726
macos-oldrel-arm64	OK	233
macos-oldrel-x86_64	OK	424
windows-devel-arm64	OK	303
windows-devel-x86_64	OK	238
windows-release-arm64	OK	307
windows-release-x86_64	OK	226
windows-oldrel-x86_64	OK	230
wasm-release	OK	149

Exports:aBfixLMCTest approx_dist_loop approxDistDL argrid_MSARmdl argrid_MSARmdl_cpp argrid_MSVARmdl argrid_MSVARmdl_cpp ARmdl arP arP_cpp ARXmdl aURdiffLMCTest aURdiffMMCTest aURfixLMCTest calc_DLmoments calcResid_MSARmdl calcResid_MSARXmdl calcResid_MSVARmdl calcResid_MSVARXmdl canonicalize_regimes CHPbootCV 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_MSARXmdl EMaximization_MSVARmdl EMaximization_MSVARXmdl EMiter_HMmdl EMiter_MSARmdl EMiter_MSARXmdl EMiter_MSVARmdl EMiter_MSVARXmdl estimMdl ExpectationM_HMmdl ExpectationM_MSARmdl ExpectationM_MSARXmdl ExpectationM_MSVARmdl ExpectationM_MSVARXmdl getHessian HLRparamSearch HLRTest HMmdl HMmdl_em HMmdl_mle initVals_HMmdl initVals_MSARmdl initVals_MSARXmdl initVals_MSVARmdl initVals_MSVARXmdl interMSARmdl interMSVARmdl limP LMCLRTest logLike_ARmdl logLike_ARXmdl logLike_HMmdl logLike_HMmdl_min logLike_MSARmdl logLike_MSARmdl_min logLike_MSARXmdl logLike_MSARXmdl_min logLike_MSVARmdl logLike_MSVARmdl_min logLike_MSVARXmdl logLike_MSVARXmdl_min logLike_Nmdl logLike_VARmdl logLike_VARXmdl LR_samp_dist LR_samp_dist_par marklike mclike MCpval mdledit MMC_bounds MMCLRpval_fun MMCLRpval_fun_min MMCLRTest MSARmdl MSARmdl_em MSARmdl_mle MSARXmdl MSARXmdl_em MSVARmdl MSVARmdl_em MSVARmdl_mle MSVARXmdl MSVARXmdl_em Nmdl paramList_MSARmdl paramList_MSARXmdl paramList_MSVARmdl paramList_MSVARXmdl phi_margin_project_cpp randP randSN sim_DLmoments simuAR simuAR_cpp simuARX simuARX_cpp simuHMM simuHMM_cpp simuMdl simuMSAR simuMSAR_cpp simuMSARX simuMSARX_cpp simuMSVAR simuMSVAR_cpp simuMSVARX simuMSVARX_cpp simuNorm simuNorm_cpp simuVAR simuVAR_cpp simuVARX simuVARX_cpp thetaSE thetaSE_louis ts_lagged VARmdl VARXmdl warmstart_theta

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

Introduction to MSTest

Rendered fromMSTest.Rmdusingknitr::rmarkdown

Last update: 2026-07-13
Started: 2026-07-09

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Testing Markov Switching Models	MSTest-package MSTest
Boundary-augmented (fix) Local Monte Carlo Likelihood Ratio Test	aBfixLMCTest
Autoregressive Model	ARmdl
Autoregressive X Model	ARXmdl
Unit-root-augmented (differencing) Local Monte Carlo Likelihood Ratio Test	aURdiffLMCTest
Unit-root-augmented (differencing) Maximized Monte Carlo Likelihood Ratio Test	aURdiffMMCTest
Unit-root-augmented (fix) Local Monte Carlo Likelihood Ratio Test	aURfixLMCTest
Canonical regime labeling	canonicalize_regimes
Carrasco, Hu, & Ploberger 2010 GNP data	chp10GNP
Bootstrap critical values for CHP 2014 parameter stability test	CHPbootCV
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 autoregressive model with exogenous regressors	MSARXmdl
Markov-switching vector autoregressive model	MSVARmdl
Markov-switching vector autoregressive model with exogenous regressors	MSVARXmdl
Normal distribution model	Nmdl
Simulate autoregressive process	simuAR
Simulate autoregressive X process	simuARX
Simulate Hidden Markov model with normally distributed errors	simuHMM
Simulate Markov-switching autoregressive process	simuMSAR
Simulate Markov-switching ARX process	simuMSARX
Simulate Markov-switching vector autoregressive process	simuMSVAR
Simulate Markov-switching VARX process	simuMSVARX
Simulate normally distributed process	simuNorm
Simulate VAR process	simuVAR
Simulate VARX process	simuVARX
US GNP data 1947Q2 - 2024Q2	USGNP
US Real GDP data 1947Q2 - 2024Q2	USRGDP
Vector autoregressive model	VARmdl
Vector X autoregressive model	VARXmdl
Warm-start values for the alternative model of a Monte Carlo LR test	warmstart_theta