MSTest0.1.3 package

Hypothesis Testing for Markov Switching Models

AIC.ARmdl

AIC of a ARmdl object

AIC.HMmdl

AIC of a HMmdl object

AIC.MSARmdl

AIC of a MSARmdl object

AIC.MSVARmdl

AIC of a MSVARmdl object

AIC.Nmdl

AIC of a Nmdl object

AIC.VARmdl

AIC of a VARmdl object

approx_dist_loop

Loop for approxDistDL

approxDistDL

Approximate CDF distribution

argrid_MSARmdl

Autoregressive moment grid

argrid_MSVARmdl

Vector autoregressive moment grid

plot.simuMSAR

Plot of a simuMSAR object

plot.simuMSARX

Plot of a simuMSARX object

simuMSARX

Simulate Markov-switching ARX process

simuMSVAR_cpp

Simulate Markov-switching vector autoregressive process

ARmdl

Autoregressive Model

arP

Autoregressive transition matrix

plot.simuMSVAR

Plot of a simuMSVAR object

plot.simuMSVARX

Plot of a simuMSVARX object

plot.simuNorm

Plot of a simuNorm object

plot.simuVAR

Plot of a simuVAR object

plot.simuVARX

Plot of a simuVARX object

plot.VARmdl

Plot of a VARmdl object

predict.ARmdl

Predict for a ARmdl object

predict.HMmdl

Predict for a HMmdl object

predict.MSARmdl

Predict for a MSARmdl object

predict.MSVARmdl

Predict for a MSVARmdl object

predict.Nmdl

Predict for a Nmdl object

predict.VARmdl

Predict for a VARmdl object

print.ARmdl

Print summary of an ARmdl object

print.BootLRTest

Print summary of a BootLRTest object

print.CHPTest

Print summary of a CHPTest object

print.DLMCTest

Print summary of a DLMCTest object

print.DLMMCTest

Print summary of a DLMMCTest object

print.HLRTest

Print summary of a CHPTest object

print.HMmdl

Print summary of a HMmdl object

print.LMCLRTest

Print summary of a LMCLRTest object

print.MMCLRTest

Print summary of a MMCLRTest object

print.MSARmdl

Print summary of a MSARmdl object

ARXmdl

Autoregressive X Model

BIC.ARmdl

BIC of a ARmdl object

BIC.HMmdl

BIC of a HMmdl object

BIC.MSARmdl

BIC of a MSARmdl object

BIC.MSVARmdl

BIC of a MSVARmdl object

BIC.Nmdl

BIC of a Nmdl object

BIC.VARmdl

BIC of a VARmdl object

calc_DLmoments

Moment-based test statistics

print.MSVARmdl

Print summary of a MSVARmdl object

print.Nmdl

Print summary of a Nmdl object

print.VARmdl

Print summary of an VARmdl object

calc_mu2t_mv

Test statistic for switch in mean and variance

calc_mu2t

Test statistic for switch in mean only

randP

Random Transition Matrix

calcResid_MSARmdl

Markov-switching autoregressive model residuals

calcResid_MSARXmdl

Markov-switching autoregressive model residuals

calcResid_MSVARmdl

Markov-switching vector autoregressive model residuals

calcResid_MSVARXmdl

Markov-switching VARX model residuals

CHPbootCV

Bootstrap critical values for CHP 2014 parameter stability test

chpDmat

Derivative matrix

randSN

Standard normal errors using box Muller

residuals.ARmdl

residuals of a ARmdl object

residuals.HMmdl

residuals of a HMmdl object

residuals.MSARmdl

residuals of a MSARmdl object

residuals.MSVARmdl

residuals of a MSVARmdl object

chpStat

Test statistic for CHP 2014 parameter stability test

residuals.Nmdl

residuals of a Nmdl object

residuals.VARmdl

residuals of a VARmdl object

sim_DLmoments

Simulated moment-based test statistics

simuAR_cpp

Simulate autoregressive process

simuAR

Simulate autoregressive process

simuARX_cpp

Simulate autoregressive process with exogenous regressors

simuARX

Simulate autoregressive X process

CHPTest

Carrasco, Hu, and Ploberger (2014) parameter stability test

clike

Parameter vector & likelihood function used by HLRTest()

coef.ARmdl

coef of a ARmdl object

coef.HMmdl

coef of a HMmdl object

coef.MSARmdl

coef of a MSARmdl object

coef.MSVARmdl

coef of a MSVARmdl object

coef.Nmdl

coef of a Nmdl object

coef.VARmdl

coef of a VARmdl object

combine_stat

Combine p-values

companionMat

Companion Matrix

compu_tstat

Computes test stat using new parameter vectors

cov2corr

Covariance to correlation matrix

covar_unvech

Covariance vech to matrix

covar_vech

Covariance vech function

DLMCTest

Monte Carlo moment-based test for Markov switching model

DLMMC_bounds

MMC nuisance parameter bounds for Moment-based test

simuHMM_cpp

Simulate Hidden Markov model with normally distributed errors

simuHMM

Simulate Hidden Markov model with normally distributed errors

simuMdl

Likelihood ratio test statistic sample distribution

simuMSAR_cpp

Simulate Markov-switching autoregressive process

simuMSAR

Simulate Markov-switching autoregressive process

simuMSARX_cpp

Simulate Markov-switching ARX process

DLMMCpval_fun_min

Moment-based MMC test (negative) p-value

DLMMCpval_fun

Moment-based MMC test p-value

DLMMCTest

Maximized Monte Carlo moment-based test for Markov switching model

dmclike

Gradient of likelihood function.

EMaximization_HMmdl

Maximization step of EM algorithm for Hidden Markov model

EMaximization_MSARmdl

Maximization step of EM algorithm for Markov-switching autoregressive ...

EMaximization_MSARXmdl

Maximization step of EM algorithm for Markov-switching ARX model

EMaximization_MSVARmdl

Maximization step of EM algorithm for Markov-switching vector autoregr...

EMaximization_MSVARXmdl

Maximization step of EM algorithm for Markov-switching VARX model

EMiter_HMmdl

EM algorithm iteration for Hidden Markov model

EMiter_MSARmdl

EM algorithm iteration for Markov-switching autoregressive model

EMiter_MSARXmdl

EM algorithm iteration for Markov-switching ARX model

EMiter_MSVARmdl

EM algorithm iteration for Markov-switching vector autoregressive mode...

EMiter_MSVARXmdl

EM algorithm iteration for Markov-switching VARX model

estimMdl

Estimate model for likelihood ratio test

ExpectationM_HMmdl

Hidden Markov model log-likelihood function

ExpectationM_MSARmdl

Markov-switching autoregressive log-likelihood function

ExpectationM_MSARXmdl

Markov-switching ARX log-likelihood function

ExpectationM_MSVARmdl

Markov-switching vector autoregressive log-likelihood function

ExpectationM_MSVARXmdl

Markov-switching VARX log-likelihood function

fitted.ARmdl

fitted values of a ARmdl object

fitted.HMmdl

fitted values of a HMmdl object

fitted.MSARmdl

fitted values of a MSARmdl object

fitted.MSVARmdl

fitted values of a MSVARmdl object

fitted.Nmdl

fitted values of a Nmdl object

fitted.VARmdl

fitted values of a VARmdl object

getHessian.ARmdl

Hessian matrix of autoregressive model

getHessian.HMmdl

Hessian matrix of Hidden Markov model

getHessian.MSARmdl

Hessian matrix of Markov-switching autoregressive model

getHessian.MSVARmdl

Hessian matrix of Markov-switching vector autoregressive model

getHessian.Nmdl

Hessian matrix of normal model

getHessian

Hessian matrix

getHessian.VARmdl

Hessian matrix of vector autoregressive model

HLRparamSearch

HLR param search

HLRTest

Hansen (1992) likelihood ratio test

HMmdl_em

Estimation of Hidden Markov model by EM Algorithm

HMmdl_mle

Hidden Markov model maximum likelihood estimation

HMmdl

Hidden Markov model

initVals_HMmdl

Initial values for Hidden Markov model

initVals_MSARmdl

Initial values for Markov-switching autoregressive model

initVals_MSARXmdl

Initial values for Markov-switching ARX model

initVals_MSVARmdl

Initial values for Markov-switching vector autoregressive model

initVals_MSVARXmdl

Initial values for Markov-switching VARX model

interMSARmdl

Intercept from mu for MSARmdl

interMSVARmdl

Intercept from mu for MSVARmdl

limP

Ergodic (limiting) probabilities of states

LMCLRTest

Monte Carlo Likelihood Ratio Test

logLik.ARmdl

Log likelihood for autoregressive model

logLik.HMmdl

Log likelihood for Hidden Markov model

logLik.MSARmdl

Log likelihood for Markov-switching autoregressive model

logLik.MSVARmdl

Log likelihood for Markov-switching vector autoregressive model

logLik.Nmdl

Log likelihood for Normal model

logLik.VARmdl

Log likelihood for vector autoregressive model

logLike_ARmdl

Autoregressive log-likelihood objective function

logLike_ARXmdl

ARX log-likelihood objective function

logLike_HMmdl_min

Hidden Markov model log-likelihood function (minimization version)

logLike_HMmdl

Hidden Markov model log-likelihood function

logLike_MSARmdl_min

Markov-switching autoregressive log-likelihood objective function (min...

logLike_MSARmdl

Markov-switching autoregressive log-likelihood objective function

logLike_MSARXmdl_min

Markov-switching ARX log-likelihood objective function (minimization v...

logLike_MSARXmdl

Markov-switching ARX log-likelihood objective function

logLike_MSVARmdl_min

Markov-switching vector autoregressive log-likelihood objective functi...

logLike_MSVARmdl

Markov-switching vector autoregressive log-likelihood objective functi...

logLike_MSVARXmdl_min

Markov-switching VARX log-likelihood objective function (minimization ...

logLike_MSVARXmdl

Markov-switching VARX log-likelihood objective function

logLike_Nmdl

Normal log-likelihood objective function

logLike_VARmdl

Vector autoregressive log-likelihood objective function

logLike_VARXmdl

VARX log-likelihood objective function

LR_samp_dist_par

Monte Carlo Likelihood Ratio Test sample distribution (parallel versio...

LR_samp_dist

Likelihood Ratio Test Statistic Sample Distribution

marklike

Likelihood function used by HLRTest()

mclike

Sum of likelihood used by HLRTest()

MCpval

Monte Carlo P-value

mdledit

Change model List with new parameters

MMC_bounds

MMC nuisance parameter bounds

MMCLRpval_fun_min

Monte Carlo Likelihood Ratio Test P-value Function

MMCLRpval_fun

Monte Carlo Likelihood Ratio Test P-value Function

MMCLRTest

Maximized Monte Carlo Likelihood Ratio Test

MSARmdl_em

Estimation of Markov-switching autoregressive model by EM Algorithm

MSARmdl_mle

Markov-switching autoregressive maximum likelihood estimation

MSARmdl

Markov-switching autoregressive model

MSARXmdl_em

Estimation of Markov-switching ARX model by EM Algorithm

MSARXmdl

Markov-switching autoregressive model

MSTest-package

Testing Markov Switching Models

MSVARmdl_em

Estimation of Markov-switching vector autoregressive model by EM Algor...

MSVARmdl_mle

Markov-switching vector autoregressive maximum likelihood estimation

MSVARmdl

Markov-switching vector autoregressive model

MSVARXmdl_em

Estimation of Markov-switching VARX model by EM Algorithm

MSVARXmdl

Markov-switching vector autoregressive model

Nmdl

Normal distribution model

nobs.ARmdl

Nobs of a ARmdl object

nobs.HMmdl

Nobs of a HMmdl object

nobs.MSARmdl

Nobs of a MSARmdl object

nobs.MSVARmdl

Nobs of a MSVARmdl object

nobs.Nmdl

Nobs of a Nmdl object

nobs.VARmdl

Nobs of a VARmdl object

paramList_MSARmdl

Parameter list for Markov-switching autoregressive model

paramList_MSARXmdl

Parameter list for Markov-switching ARX model

paramList_MSVARmdl

Parameter list for Markov-switching vector autoregressive model

paramList_MSVARXmdl

Parameter list for Markov-switching VARX model

plot.ARmdl

Plot of a ARmdl object

plot.Hmmdl

Plot of a HMmdl object

plot.MSARmdl

Plot of a MSARmdl object

plot.MSVARmdl

Plot of a MSVARmdl object

plot.Nmdl

Plot of a Nmdl object

plot.simuAR

Plot of a simuAR object

plot.simuARX

Plot of a simuARX object

plot.simuHMM

Plot of a simuHMM object

simuMSVAR

Simulate Markov-switching vector autoregressive process

simuMSVARX_cpp

Simulate Markov-switching VARX process

simuMSVARX

Simulate Markov-switching VARX process

simuNorm_cpp

Simulate normally distributed process

simuNorm

Simulate normally distributed process

simuVAR_cpp

Simulate VAR process

simuVAR

Simulate VAR process

simuVARX_cpp

Simulate VARX process

simuVARX

Simulate VAR process

summary.ARmdl

Summary of an ARmdl object

summary.BootLRTest

Summary of a BootLRTest object

summary.CHPTest

Summary of a CHPTest object

summary.DLMCTest

summaryummary of a DLMCTest object

summary.DLMMCTest

Summary of a DLMMCTest object

summary.HLRTest

Summary of a CHPTest object

summary.HMmdl

Summary of a HMmdl object

summary.LMCLRTest

Summary of a LMCLRTest object

summary.MMCLRTest

Summary of a MMCLRTest object

summary.MSARmdl

Summary of a MSARmdl object

summary.MSVARmdl

Summary of a MSVARmdl object

summary.Nmdl

Summary of a Nmdl object

summary.VARmdl

Summary of an VARmdl object

thetaSE

Theta standard errors

ts_lagged

Lagged Time Series Data

VARmdl

Vector autoregressive model

VARXmdl

Vector X autoregressive model

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 (2022) <https://grodriguezrondon.com/files/RodriguezRondon_Dufour_2024_MonteCarlo_LikelihoodRatioTest_MarkovSwitchingModels_20241015.pdf> that can be used to identify the number of regimes in Markov switching models.

  • Maintainer: Gabriel Rodriguez Rondon
  • License: GPL (>= 2)
  • Last published: 2024-10-30