Markov-switching
Likelihood ratio based tests for regime switching. This Matlab program accompanies the paper: Qu, Z and F. Zhuo (2021), "Likelihood Ratio Based Tests for Regime Switching," Review of Economic Studies, 88, 937--968. Running this program will produce the following results: (1) the test statistic, (2) the critical values and the p-value, (3) the parameter estimates under the null and alternative hypotheses, and (4) the smoothed regime probability implied by these estimates.