[R] Using Markov Regime Switching Model to Forecast

Afsaneh Bahrami bahrami.afsaneh at gmail.com
Tue Apr 14 02:21:30 CEST 2015


Dear R Users,

Is there any package in R that use Markov Regime switching model to forecast
?

I need to do one-step ahead forecast using a Markov Regime switching  model.
I have one predictor variable that switches across  2 regimes. I had a
look, but I couldn't find a package in R which use a Markov Regime
switching model for forecasting. Would you please let me know if there is
any package to do that?

I really appreciate any information.

Regards
Afsaneh

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