The Distribution of Time Between Recessions: Revisited (with MCHT)

Introduction

These past few weeks I’ve been writing about a new package I created, MCHT. Those blog posts were basically tutorials demonstrating how to use the package. (Read the first in the series here.) I’m done for now explaining the technical details of the package. Now I’m going to use the package for purpose I initially had: exploring the distribution of time separating U.S. economic recessions.

Time Series and MCHT

Introduction

Over the past few weeks I’ve published articles about my new package, MCHT, starting with an introduction, a further technical discussion, demonstrating maximized Monte Carlo (MMC) hypothesis testing, bootstrap hypothesis testing, and last week I showed how to handle multi-sample and multivariate data. This is the final article where I explain the capabilities of the package. I show how MCHT can handle time series data.

Bootstrap Testing with MCHT

Introduction

Now that we’ve seen MCHT basics, how to make `MCHTest()` objects self-contained, and maximized Monte Carlo (MMC) testing with MCHT, let’s now talk about bootstrap testing. Not much is different when we’re doing bootstrap testing; the main difference is that the replicates used to generate test statistics depend on the data we feed to the test, and thus are not completely independent of it. You can read more about bootstrap testing in [1].

Maximized Monte Carlo Testing with MCHT

Introduction

I introduced MCHT two weeks ago and presented it as a package for Monte Carlo and boostrap hypothesis testing. Last week, I delved into important technical details and showed how to make self-contained `MCHTest` objects that don’t suffer side effects from changes in the global namespace. In this article I show how to perform maximized Monte Carlo hypothesis testing using MCHT, as described in [1].

Announcing MCHT: An R Package for Bootstrap and Monte Carlo Hypothesis Testing

I am very excited to announce my first (public) package (and the second package I’ve ever written, the first being unannounced until the accompanying paper is accepted). That package is MCHT, a package for bootstrap and Monte Carlo hypothesis testing, currently available on GitHub.