This package implements hypothesis testing procedures that can be used to identify the number of regimes in a Markov-Switching model.
Gabriel Rodriguez-Rondon, gabrodriguezrondon@gmail.com (Maintainer)
Jean-Marie Dufour, jean-marie.dufour@mcgill.ca
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Rodriguez-Rondon, G., & Dufour, J.-M. 2026a. "Monte Carlo Likelihood-Ratio Tests for Markov Switching Models." Bank of Canada Staff Working Paper, No. 2026-23. doi: 10.34989/swp-2026-23.
Rodriguez-Rondon, G., & Dufour, J.-M. 2026b. "MSTest: An R-Package for Testing Markov Switching Models." Bank of Canada Staff Working Paper, No. 2026-7. doi: 10.34989/swp-2026-7.
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