00000cam 2200000zi 4500 9.961240 CaOODSP 20260324103057 m o d f cr cn||||||||| 260323e20260304oncd ob f000 0 eng d CaOODSP eng rda CaOODSP FB3-5/2026-7E-PDF Rodriguez Rondon, Gabriel, author. MSTest : an R-Package for testing Markov switching models / Gabriel Rodriguez Rondon, Jean-Marie Dufour. [Ottawa] : Bank of Canada = Banque du Canada, March 4, 2026. ©2026 1 online resource (50 pages) : graphs. text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff working paper = Document de travail du personnel, 1701-9397 ; 2026-7 Cover title. "December 16, 2025." "JEL codes: C12, C15, C22, C52." Includes bibliographical references (pages 44-50). "We present the R package MSTest, which implements hypothesis testing procedures to determine the number of regimes in Markov switching models. These models have wide ranging applications in economics, finance, and many other fields. MSTest provides several testing frameworks, including Monte Carlo likelihood ratio tests (Rodriguez-Rondon and Dufour (2025)), moment-based tests (Dufour and Luger (2017)), parameter stability tests (Carrasco et al. (2014)), and classical likelihood ratio procedures (Hansen (1992)). In addition, the package offers tools for simulating and estimating univariate and multivariate Markov switching and hidden Markov models using either the expectation–maximization algorithm or maximum likelihood estimation. The functionality of the package is demonstrated through simulation-based examples"--Abstract. Includes abstracts in English and French. Markov processes. Monte Carlo method. Banks and banking Canada Econometric models. Processus de Markov. Méthode de Monte-Carlo. Banques Canada Modèles économétriques. Bank of Canada, issuing body. Staff working paper (Bank of Canada) 1701-9397 ; 2026-7. (CaOODSP)9.806221 PDF 796 KB https://publications.gc.ca/collections/collection_2026/banque-bank-canada/FB3-5-2026-7-eng.pdf