Hypothesis Testing for Markov Switching Models
AIC of a ARmdl
object
AIC of a HMmdl
object
AIC of a MSARmdl
object
AIC of a MSVARmdl
object
AIC of a Nmdl
object
AIC of a VARmdl
object
Loop for approxDistDL
Approximate CDF distribution
Autoregressive moment grid
Vector autoregressive moment grid
Plot of a simuMSAR
object
Plot of a simuMSARX
object
Simulate Markov-switching ARX process
Simulate Markov-switching vector autoregressive process
Autoregressive Model
Autoregressive transition matrix
Plot of a simuMSVAR
object
Plot of a simuMSVARX
object
Plot of a simuNorm
object
Plot of a simuVAR
object
Plot of a simuVARX
object
Plot of a VARmdl
object
Predict for a ARmdl
object
Predict for a HMmdl
object
Predict for a MSARmdl
object
Predict for a MSVARmdl
object
Predict for a Nmdl
object
Predict for a VARmdl
object
Print summary of an ARmdl
object
Print summary of a BootLRTest
object
Print summary of a CHPTest
object
Print summary of a DLMCTest
object
Print summary of a DLMMCTest
object
Print summary of a CHPTest
object
Print summary of a HMmdl
object
Print summary of a LMCLRTest
object
Print summary of a MMCLRTest
object
Print summary of a MSARmdl
object
Autoregressive X Model
BIC of a ARmdl
object
BIC of a HMmdl
object
BIC of a MSARmdl
object
BIC of a MSVARmdl
object
BIC of a Nmdl
object
BIC of a VARmdl
object
Moment-based test statistics
Print summary of a MSVARmdl
object
Print summary of a Nmdl
object
Print summary of an VARmdl
object
Test statistic for switch in mean and variance
Test statistic for switch in mean only
Random Transition Matrix
Markov-switching autoregressive model residuals
Markov-switching autoregressive model residuals
Markov-switching vector autoregressive model residuals
Markov-switching VARX model residuals
Bootstrap critical values for CHP 2014 parameter stability test
Derivative matrix
Standard normal errors using box Muller
residuals of a ARmdl
object
residuals of a HMmdl
object
residuals of a MSARmdl
object
residuals of a MSVARmdl
object
Test statistic for CHP 2014 parameter stability test
residuals of a Nmdl
object
residuals of a VARmdl
object
Simulated moment-based test statistics
Simulate autoregressive process
Simulate autoregressive process
Simulate autoregressive process with exogenous regressors
Simulate autoregressive X process
Carrasco, Hu, and Ploberger (2014) parameter stability test
Parameter vector & likelihood function used by HLRTest()
coef of a ARmdl
object
coef of a HMmdl
object
coef of a MSARmdl
object
coef of a MSVARmdl
object
coef of a Nmdl
object
coef of a VARmdl
object
Combine p-values
Companion Matrix
Computes test stat using new parameter vectors
Covariance to correlation matrix
Covariance vech to matrix
Covariance vech function
Monte Carlo moment-based test for Markov switching model
MMC nuisance parameter bounds for Moment-based test
Simulate Hidden Markov model with normally distributed errors
Simulate Hidden Markov model with normally distributed errors
Likelihood ratio test statistic sample distribution
Simulate Markov-switching autoregressive process
Simulate Markov-switching autoregressive process
Simulate Markov-switching ARX process
Moment-based MMC test (negative) p-value
Moment-based MMC test p-value
Maximized Monte Carlo moment-based test for Markov switching model
Gradient of likelihood function.
Maximization step of EM algorithm for Hidden Markov model
Maximization step of EM algorithm for Markov-switching autoregressive ...
Maximization step of EM algorithm for Markov-switching ARX model
Maximization step of EM algorithm for Markov-switching vector autoregr...
Maximization step of EM algorithm for Markov-switching VARX model
EM algorithm iteration for Hidden Markov model
EM algorithm iteration for Markov-switching autoregressive model
EM algorithm iteration for Markov-switching ARX model
EM algorithm iteration for Markov-switching vector autoregressive mode...
EM algorithm iteration for Markov-switching VARX model
Estimate model for likelihood ratio test
Hidden Markov model log-likelihood function
Markov-switching autoregressive log-likelihood function
Markov-switching ARX log-likelihood function
Markov-switching vector autoregressive log-likelihood function
Markov-switching VARX log-likelihood function
fitted values of a ARmdl
object
fitted values of a HMmdl
object
fitted values of a MSARmdl
object
fitted values of a MSVARmdl
object
fitted values of a Nmdl
object
fitted values of a VARmdl
object
Hessian matrix of autoregressive model
Hessian matrix of Hidden Markov model
Hessian matrix of Markov-switching autoregressive model
Hessian matrix of Markov-switching vector autoregressive model
Hessian matrix of normal model
Hessian matrix
Hessian matrix of vector autoregressive model
HLR param search
Hansen (1992) likelihood ratio test
Estimation of Hidden Markov model by EM Algorithm
Hidden Markov model maximum likelihood estimation
Hidden Markov model
Initial values for Hidden Markov model
Initial values for Markov-switching autoregressive model
Initial values for Markov-switching ARX model
Initial values for Markov-switching vector autoregressive model
Initial values for Markov-switching VARX model
Intercept from mu for MSARmdl
Intercept from mu for MSVARmdl
Ergodic (limiting) probabilities of states
Monte Carlo Likelihood Ratio Test
Log likelihood for autoregressive model
Log likelihood for Hidden Markov model
Log likelihood for Markov-switching autoregressive model
Log likelihood for Markov-switching vector autoregressive model
Log likelihood for Normal model
Log likelihood for vector autoregressive model
Autoregressive log-likelihood objective function
ARX log-likelihood objective function
Hidden Markov model log-likelihood function (minimization version)
Hidden Markov model log-likelihood function
Markov-switching autoregressive log-likelihood objective function (min...
Markov-switching autoregressive log-likelihood objective function
Markov-switching ARX log-likelihood objective function (minimization v...
Markov-switching ARX log-likelihood objective function
Markov-switching vector autoregressive log-likelihood objective functi...
Markov-switching vector autoregressive log-likelihood objective functi...
Markov-switching VARX log-likelihood objective function (minimization ...
Markov-switching VARX log-likelihood objective function
Normal log-likelihood objective function
Vector autoregressive log-likelihood objective function
VARX log-likelihood objective function
Monte Carlo Likelihood Ratio Test sample distribution (parallel versio...
Likelihood Ratio Test Statistic Sample Distribution
Likelihood function used by HLRTest()
Sum of likelihood used by HLRTest()
Monte Carlo P-value
Change model List with new parameters
MMC nuisance parameter bounds
Monte Carlo Likelihood Ratio Test P-value Function
Monte Carlo Likelihood Ratio Test P-value Function
Maximized Monte Carlo Likelihood Ratio Test
Estimation of Markov-switching autoregressive model by EM Algorithm
Markov-switching autoregressive maximum likelihood estimation
Markov-switching autoregressive model
Estimation of Markov-switching ARX model by EM Algorithm
Markov-switching autoregressive model
Testing Markov Switching Models
Estimation of Markov-switching vector autoregressive model by EM Algor...
Markov-switching vector autoregressive maximum likelihood estimation
Markov-switching vector autoregressive model
Estimation of Markov-switching VARX model by EM Algorithm
Markov-switching vector autoregressive model
Normal distribution model
Nobs of a ARmdl
object
Nobs of a HMmdl
object
Nobs of a MSARmdl
object
Nobs of a MSVARmdl
object
Nobs of a Nmdl
object
Nobs of a VARmdl
object
Parameter list for Markov-switching autoregressive model
Parameter list for Markov-switching ARX model
Parameter list for Markov-switching vector autoregressive model
Parameter list for Markov-switching VARX model
Plot of a ARmdl
object
Plot of a HMmdl
object
Plot of a MSARmdl
object
Plot of a MSVARmdl
object
Plot of a Nmdl
object
Plot of a simuAR
object
Plot of a simuARX
object
Plot of a simuHMM
object
Simulate Markov-switching vector autoregressive process
Simulate Markov-switching VARX process
Simulate Markov-switching VARX process
Simulate normally distributed process
Simulate normally distributed process
Simulate VAR process
Simulate VAR process
Simulate VARX process
Simulate VAR process
Summary of an ARmdl
object
Summary of a BootLRTest
object
Summary of a CHPTest
object
summaryummary of a DLMCTest
object
Summary of a DLMMCTest
object
Summary of a CHPTest
object
Summary of a HMmdl
object
Summary of a LMCLRTest
object
Summary of a MMCLRTest
object
Summary of a MSARmdl
object
Summary of a MSVARmdl
object
Summary of a Nmdl
object
Summary of an VARmdl
object
Theta standard errors
Lagged Time Series Data
Vector autoregressive model
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.