MSTest - R package
with Jean-Marie Dufour
This package implements hypothesis testing procedures that can be used to identify the number of regimes in a Markov-Switching model. It includes the methods proposed in Hansen (1992), Carrasco et al. (2014), Dufour & Luger (2017), Kasahara & Shimotsu (2018) and Rodriguez-Rondon & Dufour (2023).
bootBtest - R package
This package allows the user to perform the bootstrap pre-test procedure described in Davidson & MacKinnon (2000) to determine an appropriate number of bootstrap simulations to use to minimize loss of power resulting from sampling.