Re: [R] multivariate markov switching

From: Ingmar Visser <I.Visser_at_uva.nl>
Date: Sat 14 Jan 2006 - 00:09:07 EST


I don't know the MS-VAR model. The graphical models page on the r-project site refers to a number of packages that deal with these types of models of which I don't know the specifics. The depmix package does multivariate hidden markov models.
best, ingmar

> From: Carlo Fezzi <fezzi@stat.unibo.it>
> Organization: Dip. Scienze Statistiche - Univ. di Bologna
> Date: Fri, 13 Jan 2006 13:50:04 +0100 (CET)
> To: r-help@stat.math.ethz.ch
> Subject: [R] multivariate markov switching
>
> Dear helpers,
>
> Does anyone know about a package or a function that allows to estimate
> Multivariate Markov-Switching Models, like MS-VAR as introduced by
> Krolzig(1997) with R ?
>
> Thanks a lot!!
>
> Carlo
>
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R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Sat Jan 14 00:43:02 2006

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