Hello,
I'm using the MSVAR package in order to estimate a markov switching model.
The model has only lagged values of the dependent variable and no constant,
n regimes and the variance of the error (which is the only thing that
changes) depending on the regime is:
se, se+s, se+2*s, se+3*s,..., se+(n-1)*s
I need to estimate the cofficients of the lagged variables, the
probabilities and s and se.
I still haven't figured out which model to use.
Any suggestions are greatly appreciated.
Theodore Papageorgiou
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