MS_Var_Likelihood_Output {MSVAR}R Documentation

Likelihood Function Output for Markov Switching VAR

Description

MS_Var This function gathers the output from the likelihood function using the optimal parameters found by nlminb.

Usage

MS_Var_Likelihood_Output(params)

Arguments

params A Vector of Initial Parameter estimates

Value

a list containing

transition matrix Markov transition probabilities for each state
coefficients constant coefficients for each state
Log-likelihood sum of log likelihood for the model
densities vector state probability densities
residuals vector of residuals for each state
Filtered Probs vector of filtered probabilities for each state

Author(s)

James Eustace james.eustace@omam.co.uk


[Package MSVAR version 0.0 Index]