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
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 <fezzi at stat.unibo.it> > Organization: Dip. Scienze Statistiche - Univ. di Bologna > Date: Fri, 13 Jan 2006 13:50:04 +0100 (CET) > To: r-help at stat.math.ethz.ch > 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 > > ______________________________________________ > R-help at stat.math.ethz.ch mailing list > stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! R-project.org/posting-guide.html >