MS_Var {MSVAR}R Documentation

Estimate Markov Switching VAR

Description

MS_Var Estimates the Markov Switching VAR. Set-up optimization parameters and reports output.

Usage

MS_Var(dep)

Arguments

dep Matrix of endogenous variables

Value

a list containing:

transitionmatrix Markov transition probabilities for each state
coefficients constant coefficients for each state
Loglikelihood sum of log likelihood for the model
densities vector state probability densities
residuals vector of residuals for each state
FilteredProbs vector of filtered probabilities for each state
smoothed Probs vector of filtered probabilities for each state

Author(s)

James Eustace james.eustace@omam.co.uk

Examples

#  Use the data-set 'Hamilton_Data.csv' to reproduce Hamilton's results
#  from "Long Swings in the Dollar: Are They in the Data and 
#  Do Markets Know It?", American Economic Review, Sept. 1990

data("EX_R")
data("INT_D")
dep<-cbind(EX_R,INT_D)
res<-MS_Var(dep)


[Package MSVAR version 0.0 Index]