MSM-package: MSwM package
In MSwM: Fitting Markov Switching Models
Description
Details
Author(s)
References
See Also
Description
Univariate Autoregressive Markov Switching Models for Linear and Generalized Models by using the EM algorithm.
Details
Package: MSwM
Type: Package
Version: 1.0
Date: 2012-11-13
License: GPL (>=2.0)
LazyLoad: yes
Depends: methods, nlme, graphics, parallel
Author(s)
Josep Anton Sanchez Espigares, Alberto Lopez-Moreno
Maintainer: Josep Anton Sanchez Espigares <josep.a.sanchez@upc.edu>
References
Hamilton J.D. (1989). A New Approach to the Economic Analysis of Nonstionary Time Series and the Business Cycle. Econometrica 57: 357-384
Hamilton, J.D. (1994). Time Series Analysis. Princeton University Press.
Goldfeld, S., Quantd, R. (2005). 'A Markov model for switching Regression',Journal of Econometrics 135, 349-376.
Perlin, M. (2007). 'Estimation, Simulation and Forecasting of a Markov Switching Regression', (General case in Matlab).
See Also
Overview: MSwM-package
Classes : MSM.lm, MSM.glm, MSM.fitted
Methods : msmFit,summary,AIC,intervals,msmResid
Plot : plot,plotProb,plotReg,plotDiag
MSwM documentation built on June 6, 2021, 5:06 p.m.
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Description Details Author(s) References See Also
Description
Univariate Autoregressive Markov Switching Models for Linear and Generalized Models by using the EM algorithm.
Details
| Package: | MSwM |
| Type: | Package |
| Version: | 1.0 |
| Date: | 2012-11-13 |
| License: | GPL (>=2.0) |
| LazyLoad: | yes |
| Depends: | methods, nlme, graphics, parallel |
Author(s)
Josep Anton Sanchez Espigares, Alberto Lopez-Moreno
Maintainer: Josep Anton Sanchez Espigares <josep.a.sanchez@upc.edu>
References
Hamilton J.D. (1989). A New Approach to the Economic Analysis of Nonstionary Time Series and the Business Cycle. Econometrica 57: 357-384
Hamilton, J.D. (1994). Time Series Analysis. Princeton University Press.
Goldfeld, S., Quantd, R. (2005). 'A Markov model for switching Regression',Journal of Econometrics 135, 349-376.
Perlin, M. (2007). 'Estimation, Simulation and Forecasting of a Markov Switching Regression', (General case in Matlab).
See Also
Overview: MSwM-package
Classes : MSM.lm, MSM.glm, MSM.fitted
Methods : msmFit,summary,AIC,intervals,msmResid
Plot : plot,plotProb,plotReg,plotDiag
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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