MSVAR (0.0)

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Markov Switching VAR.

http://cran.r-project.org/web/packages/MSVAR

MSVAR estimates a 2 state Markov Switching VAR. The likelihood function is solved via numerical optimizaton using R's 'nlminb' optimization routine. Further packages will include models with more than 2 states, switching exogenous variables and the use of simulated annealing in the optimization process to avoid finding local solutions.

Maintainer: James Eustace
Author(s): James Eustace <james.eustace@omam.co.uk>.

License: GPL (>= 2)

Uses: Does not use any package


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