Patrick Brandt
Assistant Professor
Political Science
School of Economic, Political and Policy Sciences
University of Texas at Dallas
Personal site: http://www.utdallas.edu/~pbrandt
MSBVAR site: http://yule.utdallas.edu
On Tue, Sep 22, 2009 at 7:53 AM, Angel Spassov <anspassov at googlemail.com> wrote:
> DeaR list,
>
> I am looking for a descent implementation of
> a Markov Switching Vector Autoregressive Model.
>
> Until now I found the following packages:
>
> 1) MSBVAR: It seems that this package estimates
> Markov-Switching VAR-models only from a Bayesian
> point of view? Correct me if I am wrong.
> I also need it from a frequentist point of view.
>
> Assumed, this package is the single option,
> I would greatly appreciate some basic
> code of how to estimate a single model with it.
> For example, how can I model the following
> bivariate time series:
>
> set.seed(1234)
> myts <- as.ts(data.frame(a=rnorm(100),b=rnorm(100) + 2))
>
> If I got the man pages correctly, I have to use both
> "msbvar" and "gibbs.msbvar". Mr. Brandt is
> pointing the user to a non-existing vignette
> (see ?msbvar, "Note" section) and no example are
> provided in the man pages.
> I think MSBVAR is a challenge for a new user.
>
> 2) fMarkovSwitching: This package is not compatible
> with the latest version of R and is seemingly
> suitable only for univariate models.
> Nevertheless, at least I succeeded to estimate
> my model and to interpret the results with this package.
>
> Any other suggestions?
>
> Angel.
>
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