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008260323e20260304oncd    ob   f000 0 eng d
040 |aCaOODSP|beng|erda|cCaOODSP
0861 |aFB3-5/2026-7E-PDF
1001 |aRodriguez Rondon, Gabriel, |eauthor.
24510|aMSTest : |ban R-Package for testing Markov switching models / |cGabriel Rodriguez Rondon, Jean-Marie Dufour.
264 1|a[Ottawa] : |bBank of Canada = Banque du Canada, |cMarch 4, 2026.
264 4|c©2026
300 |a1 online resource (50 pages) : |bgraphs.
336 |atext|btxt|2rdacontent
337 |acomputer|bc|2rdamedia
338 |aonline resource|bcr|2rdacarrier
4901 |aStaff working paper = |aDocument de travail du personnel, |x1701-9397 ; |v2026-7
500 |aCover title.
500 |a"December 16, 2025."
500 |a"JEL codes: C12, C15, C22, C52."
504 |aIncludes bibliographical references (pages 44-50).
520 |a"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.
546 |aIncludes abstracts in English and French.
650 0|aMarkov processes.
650 0|aMonte Carlo method.
650 0|aBanks and banking|zCanada|xEconometric models.
650 6|aProcessus de Markov.
650 6|aMéthode de Monte-Carlo.
650 6|aBanques|zCanada|xModèles économétriques.
7102 |aBank of Canada, |eissuing body.
830#0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2026-7.|w(CaOODSP)9.806221
85640|qPDF|s796 KB|uhttps://publications.gc.ca/collections/collection_2026/banque-bank-canada/FB3-5-2026-7-eng.pdf