MSTest (Q78595)
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Hypothesis Testing for Markov Switching Models
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | MSTest |
Hypothesis Testing for Markov Switching Models |
Statements
13 July 2026
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expanded from: GPL (≥ 2) (English)
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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>.
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