Description Usage Arguments Value Examples
Generate univeraite 2-regime Markov switching models.
1 2 3 |
nob |
number of observations. |
order |
AR order for each regime. |
phi1, phi2 |
AR coefficients. |
epsilon |
transition probabilities (switching out of regime 1 and 2). |
sigma |
standard errors for each regime. |
cnst |
constant term for each regime. |
ini |
burn-in period. |
MSM.sim returns a list with components:
series |
a time series following SETAR model. |
at |
innovation of the time seres. |
state |
states for the time series. |
epsilon |
transition probabilities (switching out of regime 1 and 2). |
sigma |
standard error for each regime. |
cnst |
constant terms. |
order |
AR-order for each regime. |
phi1, phi2 |
the AR coefficients for two regimes. |
1 |
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