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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.
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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