MSTest

Hypothesis Testing for Markov Switching Models

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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.

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