3 papers
econ.EM2025
Mixed LR--type tests for irregular hypotheses, general criterion functions and misspecified models
Jean-Marie Dufour, Purevdorj Tuvaandorj
This paper introduces a likelihood ratio (LR)-type test that possesses the robustness properties of \(C(α)\)-type procedures in an extremum estimation setting. The test statistic i…
stat.ME2024
MSTest: An R-Package for Testing Markov Switching Models
Gabriel Rodriguez-Rondon, Jean-Marie Dufour
We present the R package MSTest, which implements hypothesis testing procedures to identify the number of regimes in Markov switching models. These models have wide-ranging applica…
stat.ME2016
Identification-robust moment-based tests for Markov-switching in autoregressive models
Jean-Marie Dufour, Richard Luger
This paper develops tests of the null hypothesis of linearity in the context of autoregressive models with Markov-switching means and variances. These tests are robust to the ident…