MSVAR (Markov-Switching Vector AutoRegressions)
MSVAR (Markov-Switching Vector AutoRegressions)MSVAR is an Ox package (see Doornik, 2001) designed for the econometric modelling of univariate and multiple time series subject to shifts in regime. It provides the statistical tools for the maximum likelihood estimation (EM algorithm) and model evaluation of Markov-Switching Vector Autoregressions.
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