Re: [R] Estimation of AR(1) Model with Markov Switching

I did not quite get what the problem was from your description ... However, I did search on CRAN and found at least two packages that can fit markov switching ar models so that may be an easier way to go. Hth, Ingmar On Thu, Dec 1, 2011 at 5:58 PM, napps22 wrote: > Dear R users, > > I have been

[R] Estimation of AR(1) Model with Markov Switching

Dear R users, I have been trying to obtain the MLE of the following model state 0: y_t = 2 + 0.5 * y_{t-1} + e_t state 1: y_t = 0.5 + 0.9 * y_{t-1} + e_t where e_t ~ iidN(0,1) transition probability between states is 0.2 I've generated some fake data and tried to estimate the parameters using