MSinference

Performs a multiscale analysis of a nonparametric regression or nonparametric regressions with time series errors. In case of one regression, with the help of this package it is possible to detect the regions where the trend function is increasing or decreasing. In case of multiple regressions, the test identifies regions where the trend functions are different from each other. See Khismatullina and Vogt (2020) doi:10.1111/rssb.12347, Khismatullina and Vogt (2022) doi:10.48550/arXiv.2209.10841 and Khismatullina and Vogt (2023) doi:10.1016/j.jeconom.2021.04.010 for more details on theory and applications.

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