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.