MS_Var {MSVAR} | R Documentation |
MS_Var
Estimates the Markov Switching VAR. Set-up optimization
parameters and reports output.
MS_Var(dep)
dep |
Matrix of endogenous variables |
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 |
James Eustace james.eustace@omam.co.uk
# 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)