MSTest: Hypothesis Testing for Markov Switching Models

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 (2026a) <doi:10.34989/swp-2026-23> that can be used to identify the number of regimes in Markov switching models. For a detailed description of the package, see Rodriguez-Rondon & Dufour (2026b) <doi:10.34989/swp-2026-7>.

Version: 0.1.9
Depends: R (≥ 4.0.0)
Imports: stats, rlang, nloptr, Rcpp (≥ 1.0.1), numDeriv, pracma, GenSA, pso, GA, graphics
LinkingTo: Rcpp, RcppArmadillo
Suggests: testthat (≥ 3.0.0), knitr, rmarkdown
Published: 2026-07-13
DOI: 10.32614/CRAN.package.MSTest
Author: Gabriel Rodriguez-Rondon ORCID iD [cre, aut], Jean-Marie Dufour [aut]
Maintainer: Gabriel Rodriguez-Rondon <gabrodriguezrondon at gmail.com>
BugReports: https://github.com/roga11/MSTest/issues
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: https://github.com/roga11/MSTest
NeedsCompilation: yes
SystemRequirements: C++17
Materials: README, NEWS
CRAN checks: MSTest results

Documentation:

Reference manual: MSTest.html , MSTest.pdf
Vignettes: Introduction to MSTest (source, R code)

Downloads:

Package source: MSTest_0.1.9.tar.gz
Windows binaries: r-devel: MSTest_0.1.8.zip, r-release: MSTest_0.1.9.zip, r-oldrel: MSTest_0.1.8.zip
macOS binaries: r-release (arm64): MSTest_0.1.9.tgz, r-oldrel (arm64): MSTest_0.1.9.tgz, r-release (x86_64): MSTest_0.1.9.tgz, r-oldrel (x86_64): MSTest_0.1.9.tgz
Old sources: MSTest archive

Linking:

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