| MSTest-package {MSTest} | R Documentation |
Testing Markov Switching Models
Description
This package implements hypothesis testing procedures that can be used to identify the number of regimes in a Markov-Switching model.
Author(s)
Gabriel Rodriguez Rondon, gabriel.rodriguezrondon@mail.mcgill.ca (Maintainer)
Jean-Marie Dufour, jean-marie.dufour@mcgill.ca
References
Carrasco, Marine, Liang Hu, and Werner Ploberger. 2014. “Optimal test for Markov switching parameters.” Econometrica 82 (2): 765–784.
Dempster, A. P., N. M. Laird, and D. B. Rubin. 1977. “Maximum Likelihood from Incomplete Data via the EM Algorithm.” Journal of the Royal Statistical Society. Series B 39 (1): 1–38..
Dufour, Jean-Marie, and Richard Luger. 2017. “Identification-robust moment-based tests for Markov switching in autoregressive models.” Econometric Reviews 36 (6-9): 713–727.
Kasahara, Hiroyuk, and Katsum Shimotsu. 2018. “Testing the number of regimes in Markov regime switching models.” arXiv preprint arXiv:1801.06862.
Krolzig, Hans-Martin. 1997. “The markov-switching vector autoregressive model.”. Springer.
Hamilton, James D. 1989. “A new approach to the economic analysis of nonstationary time series and the business cycle.” Econometrica 57 (2): 357–384.
Hamilton, James D. 1994. "Time series analysis". Princeton university press.
Hansen, Bruce E. 1992. “The likelihood ratio test under nonstandard conditions: testing the Markov switching model of GNP.” Journal of applied Econometrics 7 (S1): S61–S82.
Rodriguez Rondon, Gabriel and Jean-Marie Dufour. 2022. "Simulation-Based Inference for Markov Switching Models” JSM Proceedings, Business and Economic Statistics Section: American Statistical Association.
Rodriguez Rondon, Gabriel and Jean-Marie Dufour. 2022. “Monte Carlo Likelihood Ratio Tests for Markov Switching Models.” Unpublished manuscript.
Rodriguez Rondon, Gabriel and Jean-Marie Dufour. 2022. “MSTest: An R-package for Testing Markov-Switching Models.” Unpublished manuscript.
Qu, Zhongjun, and Fan Zhuo. 2021. “Likelihood Ratio-Based Tests for Markov Regime Switching.” The Review of Economic Studies 88 (2): 937–968.