[R] MS-VAR introduction

[Sandrine LUNVEN]

Dear Henrique,

I think that R is not actually the best statistical tool to model MS-VAR.
Indeed, the package msvar only allow a simple specification of the model.
One tool I have ever used is on Ox with the package MSVAR built by Krolzig.
This package allow a large variety of model specifications, you can choose
the number of regimes, the regime dependence etc. You could find more
details on his site:
http://www.krolzig.co.uk/index.html?content=/msvar.html
However, it would be of great interest to develop a package on R. Maybe
soon...

Best regards,

Sandrine Lunven
Economist
TAC financial
www.tac-financial.com




Dear R community,

I'm starting to learn the MS-VAR methodology and I would like to know what I
need to download (e.g. packages) to make MS-VAR estimations using R.

Best,
Henrique C. de Andrade
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge

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