DeaR list, I am looking for a descent implementation of a frequentist estimation of a standard Markov Switching Vector Autoregressive Model.
Until now I found the following packages: 1) MSBVAR: It seems that this package estaimates Markov-Switching VAR-model only from a Bayesian point of view? Correct me if I am wrong. 2) fMarkovSwitching: It is not compatible with the latest version of R and is seemingly suitable only for univariate models. Any other suggestions? Angel. ______________________________________________ [email protected] 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.
