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 |