Package: MSTest 0.1.3
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_2024_MonteCarlo_LikelihoodRatioTest_MarkovSwitchingModels_20241015.pdf> that can be used to identify the number of regimes in Markov switching models.
Authors:
MSTest_0.1.3.tar.gz
MSTest_0.1.3.tar.gz(r-4.5-noble)MSTest_0.1.3.tar.gz(r-4.4-noble)
MSTest_0.1.3.tgz(r-4.4-emscripten)MSTest_0.1.3.tgz(r-4.3-emscripten)
MSTest.pdf |MSTest.html✨
MSTest/json (API)
NEWS
# Install 'MSTest' in R: |
install.packages('MSTest', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/roga11/mstest/issues
- USGNP - US GNP data 1947Q2 - 2024Q2
- USRGDP - US Real GDP data 1947Q2 - 2024Q2
- chp10GNP - Carrasco, Hu, & Ploberger 2010 GNP data
- hamilton84GNP - Hamilton 1984 & Hansen 1992 GNP data
Last updated 1 months agofrom:138e236f4e. Checks:OK: 2. Indexed: no.
Target | Result | Date |
---|---|---|
Doc / Vignettes | OK | Oct 31 2024 |
R-4.5-linux-x86_64 | OK | Oct 31 2024 |
Exports:approx_dist_loopapproxDistDLargrid_MSARmdlargrid_MSVARmdlARmdlarPARXmdlcalc_DLmomentscalc_mu2tcalc_mu2t_mvcalcResid_MSARmdlcalcResid_MSARXmdlcalcResid_MSVARmdlcalcResid_MSVARXmdlCHPbootCVchpDmatchpStatCHPTestclikecombine_statcompanionMatcompu_tstatcov2corrcovar_unvechcovar_vechDLMCTestDLMMC_boundsDLMMCpval_funDLMMCpval_fun_minDLMMCTestdmclikeEMaximization_HMmdlEMaximization_MSARmdlEMaximization_MSARXmdlEMaximization_MSVARmdlEMaximization_MSVARXmdlEMiter_HMmdlEMiter_MSARmdlEMiter_MSARXmdlEMiter_MSVARmdlEMiter_MSVARXmdlestimMdlExpectationM_HMmdlExpectationM_MSARmdlExpectationM_MSARXmdlExpectationM_MSVARmdlExpectationM_MSVARXmdlgetHessianHLRparamSearchHLRTestHMmdlHMmdl_emHMmdl_mleinitVals_HMmdlinitVals_MSARmdlinitVals_MSARXmdlinitVals_MSVARmdlinitVals_MSVARXmdlinterMSARmdlinterMSVARmdllimPLMCLRTestlogLike_ARmdllogLike_ARXmdllogLike_HMmdllogLike_HMmdl_minlogLike_MSARmdllogLike_MSARmdl_minlogLike_MSARXmdllogLike_MSARXmdl_minlogLike_MSVARmdllogLike_MSVARmdl_minlogLike_MSVARXmdllogLike_MSVARXmdl_minlogLike_NmdllogLike_VARmdllogLike_VARXmdlLR_samp_distLR_samp_dist_parmarklikemclikeMCpvalmdleditMMC_boundsMMCLRpval_funMMCLRpval_fun_minMMCLRTestMSARmdlMSARmdl_emMSARmdl_mleMSARXmdlMSARXmdl_emMSVARmdlMSVARmdl_emMSVARmdl_mleMSVARXmdlMSVARXmdl_emNmdlparamList_MSARmdlparamList_MSARXmdlparamList_MSVARmdlparamList_MSVARXmdlrandPrandSNsim_DLmomentssimuARsimuAR_cppsimuARXsimuARX_cppsimuHMMsimuHMM_cppsimuMdlsimuMSARsimuMSAR_cppsimuMSARXsimuMSARX_cppsimuMSVARsimuMSVAR_cppsimuMSVARXsimuMSVARX_cppsimuNormsimuNorm_cppsimuVARsimuVAR_cppsimuVARXsimuVARX_cppthetaSEts_laggedVARmdlVARXmdl
Dependencies:clicodetoolscrayonforeachGAGenSAiteratorsnloptrnumDerivpracmapsoRcppRcppArmadillorlang