MSTest

MaRDI QIDQ78595CRANFDO

Authors Gabriel Rodriguez Rondon, Jean-Marie Dufour

Last update 13 July 2026

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier 0.1.0, 0.1.1, 0.1.2, 0.1.3, 0.1.5, 0.1.6, 0.1.8, PACKAGES.rds, 0.1.9

Description

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>.

Cites work

• Identification-robust moment-based tests for Markov switching in autoregressive models
• Optimal test for Markov switching parameters
• The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp

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