search for: hmt_tvp

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 the code to R, and it's running without errors, but we have some convergence problems. According to the authors of the Gauss code, the initial guess for the Transition Matrix (probability of going from one regime to the other) could be chosen arbitrary, but unfortunately...