MSVAR: Markov Switching VAR
MSVAR estimates a 2 state Markov Switching VAR. The
likelihood function is solved via numerical optimizaton using
R's 'nlminb' optimization routine. Further packages will
include models with more than 2 states, switching exogenous
variables and the use of simulated annealing in the
optimization process to avoid finding local solutions.
| Version: |
0.0 |
| Depends: |
R (≥ 2.0.1) |
| Published: |
2008-09-01 |
| Author: |
James Eustace. |
| Maintainer: |
James Eustace <james.eustace at omam.co.uk> |
| License: |
GPL (≥ 2) |
| In views: |
Finance, TimeSeries |
| CRAN checks: |
MSVAR results |
Downloads: