applications/engineering

R-MSVAR - Markov Switching VAR

Website: http://cran.at.r-project.org/web/packages/MSVAR/index.html
License: GPL (>= 2)
Description:
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.

Packages

R-MSVAR-0.0-1.fc12.noarch [22 KiB] Changelog by pingou (2010-04-24):
- initial package for Fedora

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