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enthusiast
2010 Oct 26
1
Markov Switching with TVTP - problems with convergence
Greetings fellow R entusiasts!
We have some problems converting a computer routine written initially for
Gauss to estimate a Markov Regime Switching analysis with Time Varying
Transition Probability. The source code in Gauss is here:
http://www.econ.washington.edu/user/cnelson/markov/programs/hmt_tvp.opt
We have converted th...