[R] multivariate markov switching

Ingmar Visser I.Visser at uva.nl
Fri Jan 13 14:09:07 CET 2006

I don't know the MS-VAR model. The graphical models page on the r-project
site refers to a number of packages that deal with these types of models of
which I don't know the specifics. The depmix package does multivariate
hidden markov models.
best, ingmar

> From: Carlo Fezzi <fezzi at stat.unibo.it>
> Organization: Dip. Scienze Statistiche - Univ. di Bologna
> Date: Fri, 13 Jan 2006 13:50:04 +0100 (CET)
> To: r-help at stat.math.ethz.ch
> Subject: [R] multivariate markov switching
> Dear helpers,
> Does anyone know about a package or a function that allows to estimate
> Multivariate Markov-Switching Models, like MS-VAR as introduced by
> Krolzig(1997) with R ?
> Thanks a lot!!
> Carlo
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