{
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  "Title": "Hypothesis Testing for Markov Switching Models",
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  "Authors@R": "c(person(given = \"Gabriel\",\nfamily = \"Rodriguez-Rondon\",\nrole = c(\"cre\",\"aut\"),\nemail = \"gabrodriguezrondon@gmail.com\",\ncomment = c(ORCID = \"0009-0005-3769-9921\")),\nperson(given = \"Jean-Marie\",\nfamily = \"Dufour\",\nrole = c(\"aut\"),\nemail = \"jean-marie.dufour@mcgill.ca\"))",
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  "Description": "Implementation of hypothesis testing procedures described\nin Hansen (1992) <doi:10.1002/jae.3950070506>, Carrasco, Hu, &\nPloberger (2014) <doi:10.3982/ECTA8609>, Dufour & Luger (2017)\n<doi:10.1080/07474938.2017.1307548>, and Rodriguez-Rondon &\nDufour (2026a) <doi:10.34989/swp-2026-23> that can be used to\nidentify the number of regimes in Markov switching models. For\na detailed description of the package, see Rodriguez-Rondon &\nDufour (2026b) <doi:10.34989/swp-2026-7>.",
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  "Date/Publication": "2026-09-14 18:32:28 UTC",
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  "Author": "Gabriel Rodriguez-Rondon [cre, aut] (ORCID:\n<https://orcid.org/0009-0005-3769-9921>),\nJean-Marie Dufour [aut]",
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    "argrid_MSARmdl",
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    "argrid_MSVARmdl",
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    "ARmdl",
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    "arP_cpp",
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    "aURdiffLMCTest",
    "aURdiffMMCTest",
    "aURfixLMCTest",
    "calc_DLmoments",
    "calcResid_MSARmdl",
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    "calcResid_MSVARmdl",
    "calcResid_MSVARXmdl",
    "canonicalize_regimes",
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    "chpStat",
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    "clike",
    "combine_stat",
    "companionMat",
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    "DLMCTest",
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    "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"
  ],
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      "title": "Carrasco, Hu, & Ploberger 2010 GNP data",
      "object": "chp10GNP",
      "class": [
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      ],
      "fields": [
        "DATE",
        "GNP",
        "GNP_gr"
      ],
      "rows": 239,
      "table": true,
      "tojson": true
    },
    {
      "name": "hamilton84GNP",
      "title": "Hamilton 1984 & Hansen 1992 GNP data",
      "object": "hamilton84GNP",
      "class": [
        "data.frame"
      ],
      "fields": [
        "DATE",
        "GNP",
        "GNP_gr"
      ],
      "rows": 135,
      "table": true,
      "tojson": true
    },
    {
      "name": "USGNP",
      "title": "US GNP data 1947Q2 - 2024Q2",
      "object": "USGNP",
      "class": [
        "data.frame"
      ],
      "fields": [
        "Date",
        "GNP",
        "GNP_gr"
      ],
      "rows": 309,
      "table": true,
      "tojson": true
    },
    {
      "name": "USRGDP",
      "title": "US Real GDP data 1947Q2 - 2024Q2",
      "object": "USRGDP",
      "class": [
        "data.frame"
      ],
      "fields": [
        "Date",
        "RGDP",
        "RGDP_gr"
      ],
      "rows": 309,
      "table": true,
      "tojson": true
    }
  ],
  "_help": [
    {
      "page": "MSTest-package",
      "title": "Testing Markov Switching Models",
      "topics": [
        "MSTest-package",
        "MSTest"
      ]
    },
    {
      "page": "aBfixLMCTest",
      "title": "Boundary-augmented (fix) Local Monte Carlo Likelihood Ratio Test",
      "topics": [
        "aBfixLMCTest"
      ]
    },
    {
      "page": "ARmdl",
      "title": "Autoregressive Model",
      "topics": [
        "ARmdl"
      ]
    },
    {
      "page": "ARXmdl",
      "title": "Autoregressive X Model",
      "topics": [
        "ARXmdl"
      ]
    },
    {
      "page": "aURdiffLMCTest",
      "title": "Unit-root-augmented (differencing) Local Monte Carlo Likelihood Ratio Test",
      "topics": [
        "aURdiffLMCTest"
      ]
    },
    {
      "page": "aURdiffMMCTest",
      "title": "Unit-root-augmented (differencing) Maximized Monte Carlo Likelihood Ratio Test",
      "topics": [
        "aURdiffMMCTest"
      ]
    },
    {
      "page": "aURfixLMCTest",
      "title": "Unit-root-augmented (fix) Local Monte Carlo Likelihood Ratio Test",
      "topics": [
        "aURfixLMCTest"
      ]
    },
    {
      "page": "canonicalize_regimes",
      "title": "Canonical regime labeling",
      "topics": [
        "canonicalize_regimes"
      ]
    },
    {
      "page": "chp10GNP",
      "title": "Carrasco, Hu, & Ploberger 2010 GNP data",
      "topics": [
        "chp10GNP"
      ]
    },
    {
      "page": "CHPbootCV",
      "title": "Bootstrap critical values for CHP 2014 parameter stability test",
      "topics": [
        "CHPbootCV"
      ]
    },
    {
      "page": "CHPTest",
      "title": "Carrasco, Hu, and Ploberger (2014) parameter stability test",
      "topics": [
        "CHPTest"
      ]
    },
    {
      "page": "DLMCTest",
      "title": "Monte Carlo moment-based test for Markov switching model",
      "topics": [
        "DLMCTest"
      ]
    },
    {
      "page": "DLMMCTest",
      "title": "Maximized Monte Carlo moment-based test for Markov switching model",
      "topics": [
        "DLMMCTest"
      ]
    },
    {
      "page": "hamilton84GNP",
      "title": "Hamilton 1984 & Hansen 1992 GNP data",
      "topics": [
        "hamilton84GNP"
      ]
    },
    {
      "page": "HLRTest",
      "title": "Hansen (1992) likelihood ratio test",
      "topics": [
        "HLRTest"
      ]
    },
    {
      "page": "HMmdl",
      "title": "Hidden Markov model",
      "topics": [
        "HMmdl"
      ]
    },
    {
      "page": "LMCLRTest",
      "title": "Monte Carlo Likelihood Ratio Test",
      "topics": [
        "LMCLRTest"
      ]
    },
    {
      "page": "MCpval",
      "title": "Monte Carlo P-value",
      "topics": [
        "MCpval"
      ]
    },
    {
      "page": "MMCLRTest",
      "title": "Maximized Monte Carlo Likelihood Ratio Test",
      "topics": [
        "MMCLRTest"
      ]
    },
    {
      "page": "MSARmdl",
      "title": "Markov-switching autoregressive model",
      "topics": [
        "MSARmdl"
      ]
    },
    {
      "page": "MSARXmdl",
      "title": "Markov-switching autoregressive model with exogenous regressors",
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