multivariate markov switching

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multivariate markov switching

Carlo Fezzi
Dear helpers,

Does anyone know about a package or a function that allows to estimate
Multivariate Markov-Switching Models, like MS-VAR as introduced by
Krolzig(1997) with R ?

Thanks a lot!!

Carlo

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Re: multivariate markov switching

Ingmar Visser
I don't know the MS-VAR model. The graphical models page on the r-project
site refers to a number of packages that deal with these types of models of
which I don't know the specifics. The depmix package does multivariate
hidden markov models.
best, ingmar

> From: Carlo Fezzi <[hidden email]>
> Organization: Dip. Scienze Statistiche - Univ. di Bologna
> Date: Fri, 13 Jan 2006 13:50:04 +0100 (CET)
> To: [hidden email]
> Subject: [R] multivariate markov switching
>
> Dear helpers,
>
> Does anyone know about a package or a function that allows to estimate
> Multivariate Markov-Switching Models, like MS-VAR as introduced by
> Krolzig(1997) with R ?
>
> Thanks a lot!!
>
> Carlo
>
> ______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
>

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