[R] Markov Switching with TVTP - problems with convergence
Houge
jb.houge at gmail.com
Tue Oct 26 10:13:27 CEST 2010
Greetings fellow R entusiasts!
We have some problems converting a computer routine written initially for
Gauss to estimate a Markov Regime Switching analysis with Time Varying
Transition Probability. The source code in Gauss is here:
http://www.econ.washington.edu/user/cnelson/markov/programs/hmt_tvp.opt
We have converted the code to R, and it's running without errors, but we
have some convergence problems. According to the authors of the Gauss code,
the initial guess for the Transition Matrix (probability of going from one
regime to the other) could be chosen arbitrary, but unfortunately this is
not the case for our R code. Also, we do not have Gauss available to test
the original source code.
A function used in Gauss is called "optmum", while R has a function called
"optim". Are these the same? If not, this might be the cause of our
convergence problems.
I would be glad to share the R program with anyone interested, as well as
the panel data used in the analysis.
Best,
Jørgen Blystad Houge
jorgehou at stud.ntnu.no
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