ExpectationM_MSVARXmdl: Markov-switching VARX log-likelihood function

In MSTest: Hypothesis Testing for Markov Switching Models

Markov-switching VARX log-likelihood function

Description

This function computes the log-likelihood for a markov-switching VARX model and uses the Hamilton smoother to obtain smoothed probabilities of each state. This is also the expectation step in the Expectation Maximization algorithm for a Markov-switching autoregressive model.

Usage

ExpectationM_MSVARXmdl(theta, mdl, k)

Arguments

theta	Vector of model parameters.
mdl	List with model attributes.
k	Integer determining the number of regimes.

Value

List which includes log-likelihood and smoothed probabilities of each regime.

MSTest documentation built on Oct. 31, 2024, 1:06 a.m.