I've looked at the Kim/Nelson gauss code before, and I applaud your effort to convert it to R.
I'm happy to have a look at it for you if you are willing to share your example. -Whit On Tue, Oct 26, 2010 at 4:13 AM, Houge <jb.ho...@gmail.com> wrote: > > 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 this is > not the case for our R code. Also, we do not have Gauss available to test > the original source code. > > A function used in Gauss is called "optmum", while R has a function called > "optim". Are these the same? If not, this might be the cause of our > convergence problems. > > I would be glad to share the R program with anyone interested, as well as > the panel data used in the analysis. > > Best, > Jørgen Blystad Houge > jorge...@stud.ntnu.no > -- > View this message in context: > http://r.789695.n4.nabble.com/Markov-Switching-with-TVTP-problems-with-convergence-tp3013292p3013292.html > Sent from the R help mailing list archive at Nabble.com. > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
