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MSTest 0.1.2.9000

  • Made change to MSARmdl(), MSVARmdl(), and HMmdl(). Specifically, when msmu or msvar is FALSE, output list copies single regime value for each k regime. This is needed for simulating the null when either msmu or msvar is FALSE in LMCLRTest() and MMCLRTest().
  • Added option to use different number of initial values for estimating MSMs with observed data vs. for null distribution (see documentation for LMCLRTest() and MMCLRTest()).
  • Updated USGNP data set to include 2022 Q3.
  • MMCLRTest() now has the option to add lower and upper bounds for autoregressive coefficients and transition probabilities to help reduce errors from polyroot() when optimizing. MMC_bounds() has been updated to reflect this.
  • DLMMCTest() now has the option to add lower and upper bounds for autoregressive coefficients to help reduce errors from polyroot() when optimizing. DLMMC_bounds() has been created for this.
  • Fixed error in bootCV() used by CHPTest(). When NaN occurs, new draw is used.
  • Added option to allow user to specify 'mle_theta_low' and 'mle_theta_upp' which determine the lower and upper bounds for optimization in HMmdl(), MSARmdl(), and MSVARmdl() when "method='MLE'" is specified.
  • print.CHPTest() now used two lines to print description.
  • In HLRTest() user can now define entire grid for transition probabilities.
  • added new optional optimization routine for HLRparamSearch() (nloptr::slsqp() can be used now).
  • Fixed bug in HLRTest() where grid for sigma options are properly used now.
  • Now using nearest_spd() from pracma instead of nearPD() from lmf package.
  • Added classes for simulation functions
  • Added new methods, namely: coef, fitted, predict, summary, residuals, nobs, plot
  • Made changes to print method.
  • Changed methods for models, namely: logLiklihood now uses logLik, and aic and bic now use AIC and BIC methods.
  • Updated USGNP dataset to include data up to end of 2023.
  • Updated README.md file with usage of new methods.
  • Updated DESCRIPTION file for changed dependencies and new version.

MSTest 0.1.1

  • Made changes to MMC LRT related functions for obtaining null distribution of statistical test.
  • Added more examples. Examples that take long to complete are commented out but serve to get familiar with usage.
  • Fixed bug related to using init_theta (setting initial values of parameters) when estimating Markov models (i.e. MSARmdl(), HMmdl(), and MSVARmdl()).
  • Fixed bug in MMC_bound() when k0>1
  • Updated DESCRIPTION file for new version.

MSTest 0.1.0

  • Added a NEWS.md file to track changes to the package.
  • Added a README.md file to describe the package.
  • First public version of package.