Gabriel Rodriguez-Rondon, Jean-Marie Dufour
arXiv 12 Nov 2024 · Statistics — Methodology
arXiv:2411.08188 · PDF · DOI · OpenAlex · Extracted main text
We present the R package MSTest, which implements hypothesis testing procedures to identify the number of regimes in Markov switching models. These models have wide-ranging applications in economics, finance, and numerous other fields. The MSTest package includes the Monte Carlo likelihood ratio test procedures proposed by Rodriguez-Rondon and Dufour (2024), the moment-based tests of Dufour and Luger (2017), the parameter stability tests of Carrasco, Hu, and Ploberger (2014), and the likelihood ratio test of Hansen (1992). Additionally, the package enables users to simulate and estimate univariate and multivariate Markov switching and hidden Markov processes, using the expectation-maximization (EM) algorithm or maximum likelihood estimation (MLE). We demonstrate the functionality of the MSTest package through both simulation experiments and an application to U.S. GNP growth data.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Rodriguez-Rondon, G. and Dufour, J.-M (2024) Monte Carlo likelihood ratio tests for Markov switching models self | 1.000 | 31 | 9 | 100% |
| 2 | Hansen, B. E (1992) The likelihood ratio test under nonstandard conditions: testing the markov switching model of gnp | 1.000 | 19 | 7 | 100% |
| 3 | Dufour, J.-M. and Luger, R (2017) Identification-robust moment-based tests for markov switching in autoregressive models self | 1.000 | 19 | 6 | 100% |
| 4 | Carrasco, M., Hu, L., and Ploberger, W (2014) Optimal test for markov switching parameters | 1.000 | 16 | 6 | 100% |
| 5 | Qu, Z. and Zhuo, F (2021) Likelihood ratio-based tests for markov regime switching | 1.000 | 15 | 4 | 100% |
| 6 | Kasahara, H. and Shimotsu, K (2018) Testing the number of regimes in markov regime switching models | 1.000 | 11 | 4 | 100% |
| 7 | Garcia, R (1998) Asymptotic null distribution of the likelihood ratio test in markov switching models | 1.000 | 10 | 4 | 100% |
| 8 | Cho, J.-S. and White, H (2007) Testing for regime switching | 1.000 | 7 | 3 | 100% |
| 9 | Hamilton, J. D (1989) A new approach to the economic analysis of nonstationary time series and the business cycle | 1.000 | 6 | 3 | 100% |
| 10 | Dufour, J.-M (2006) Monte carlo tests with nuisance parameters: A general approach to finite-sample inference and nonstandard asymptotics self | 0.874 | 6 | 2 | 100% |
Showing the top 10 of 87 scored citations.