i have this time series, the tree lines means different level, i would use a Markov switching model with two states to modelling this time series. i would obtain the relative transition matrix (2X2)
the first state is above the value of 23.65 (the higher line)
the second state is below the value of 23.65
You can ignore the other two lines
How can i do it?
is there a simple code to do it????
i attached the dataset
If you know the cut-off between states no complicated modeling is
necessary, using something like this (untested):
x[x<23.65] <- 0
x[x>23.65] <- 1
will give you the markov state sequence and the transition matrix follows
hth, Ingmar Visser
On Fri, Jul 27, 2012 at 8:52 PM, cesare orsini <[hidden email]> wrote: