CRAN: Package MSTest

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 (2024) <https://grodriguezrondon.com/files/RodriguezRondon_Dufour_2025_MonteCarlo_LikelihoodRatioTest_MarkovSwitchingModels_20251014.pdf> that can be used to identify the number of regimes in Markov switching models.

Version: 0.1.6

Depends: R (≥ 4.0.0)

Imports: stats, rlang, nloptr, Rcpp (≥ 1.0.1), numDeriv, pracma, foreach, GenSA, pso, GA, graphics

LinkingTo: Rcpp, RcppArmadillo

Published: 2025年10月23日

DOI: 10.32614/CRAN.package.MSTest

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

Maintainer: Gabriel Rodriguez Rondon <gabriel.rodriguezrondon at mail.mcgill.ca>

BugReports: https://github.com/roga11/MSTest/issues

License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]

URL: https://github.com/roga11/MSTest

NeedsCompilation: yes

SystemRequirements: C++17

Materials: README, NEWS

CRAN checks: MSTest results

Documentation:

Reference manual: MSTest.html , MSTest.pdf

Downloads:

Package source: MSTest_0.1.6.tar.gz

Windows binaries: r-devel: MSTest_0.1.6.zip, r-release: MSTest_0.1.6.zip, r-oldrel: MSTest_0.1.6.zip

macOS binaries: r-release (arm64): MSTest_0.1.6.tgz, r-oldrel (arm64): MSTest_0.1.6.tgz, r-release (x86_64): MSTest_0.1.6.tgz, r-oldrel (x86_64): MSTest_0.1.6.tgz

Old sources: MSTest archive

Linking:

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