Hypothesis Testing for Markov Switching Models

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Documentation for package ‘MSTest’ version 0.1.1

• DESCRIPTION file.

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MSTest-package	Testing Markov Switching Models
ARmdl	Autoregressive Model
BootLRTest	Bootstrap Likelihood Ratio Test
chp10GNP	Carrasco, Hu, & Ploberger 2010 GNP data
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
MSTest	Testing Markov Switching Models
MSVARmdl	Markov-switching vector autoregressive model
Nmdl	Normal distribution model
simuAR	Simulate autoregressive process
simuHMM	Simulate Hidden Markov model with normally distributed errors
simuMSAR	Simulate Markov-switching autoregressive process
simuMSVAR	Simulate Markov-switching vector autoregressive process
simuNorm	Simulate normally distributed process
simuVAR	Simulate VAR process
USGNP	US GNP data 1947Q2 - 2022Q2
VARmdl	Vector autoregressive model