MarSwitching.jl: Julia package for Markov switching dynamic models
MIT License
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Published by m-dadej about 1 year ago
Initial release.
- Markov switching model with $k$ regimes and combinations of:
- switching/non-switching or without intercept
- switching/non-switching variance
- switching/non-switching exogenous variables
- time-varying transition probabilites (TVTP) (Filardo 1994)
- Filtered probabilites
- Smoothed probabilites (Kim, 1994)
- Summary statistics of coefficients
- instanteous and one step ahead `predict()`
- Expected regime duration
- Simulation of data both from estimated model and from given parameters
- Adding lagged variables to the matrix