[R] Markov Switching with TVTP - problems with convergence

[Whit Armstrong]

I've looked at the Kim/Nelson gauss code before, and I applaud your
effort to convert it to R.

I'm happy to have a look at it for you if you are willing to share your example.

-Whit


On Tue, Oct 26, 2010 at 4:13 AM, Houge <jb.houge at gmail.com> wrote:
>
> 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
> --
> View this message in context: http://r.789695.n4.nabble.com/Markov-Switching-with-TVTP-problems-with-convergence-tp3013292p3013292.html
> Sent from the R help mailing list archive at Nabble.com.
>
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