[R] Markov Switching

Angel Spassov anspassov at googlemail.com
Tue Sep 22 09:38:47 CEST 2009


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.




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