Hypothesis Testing for Markov Switching Models

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Documentation for package ‘MSTest’ version 0.1.3

• DESCRIPTION file.
• Package NEWS.

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MSTest-package	Testing Markov Switching Models
ARmdl	Autoregressive Model
ARXmdl	Autoregressive X Model
chp10GNP	Carrasco, Hu, & Ploberger 2010 GNP data
CHPbootCV	Bootstrap critical values for CHP 2014 parameter stability test
CHPTest	Carrasco, Hu, and Ploberger (2014) parameter stability test
DLMCTest	Monte Carlo moment-based test for Markov switching model
DLMMCTest	Maximized Monte Carlo moment-based test for Markov switching model
hamilton84GNP	Hamilton 1984 & Hansen 1992 GNP data
HLRTest	Hansen (1992) likelihood ratio test
HMmdl	Hidden Markov model
LMCLRTest	Monte Carlo Likelihood Ratio Test
MCpval	Monte Carlo P-value
MMCLRTest	Maximized Monte Carlo Likelihood Ratio Test
MSARmdl	Markov-switching autoregressive model
MSARXmdl	Markov-switching autoregressive model
MSTest	Testing Markov Switching Models
MSVARmdl	Markov-switching vector autoregressive model
MSVARXmdl	Markov-switching vector autoregressive model
Nmdl	Normal distribution model
simuAR	Simulate autoregressive process
simuARX	Simulate autoregressive X process
simuHMM	Simulate Hidden Markov model with normally distributed errors
simuMSAR	Simulate Markov-switching autoregressive process
simuMSARX	Simulate Markov-switching ARX process
simuMSVAR	Simulate Markov-switching vector autoregressive process
simuMSVARX	Simulate Markov-switching VARX process
simuNorm	Simulate normally distributed process
simuVAR	Simulate VAR process
simuVARX	Simulate VAR process
USGNP	US GNP data 1947Q2 - 2024Q2
USRGDP	US Real GDP data 1947Q2 - 2024Q2
VARmdl	Vector autoregressive model
VARXmdl	Vector X autoregressive model