| MSwM-package {MSwM} | R Documentation |
MSwM package
Description
Univariate Autoregressive Markov Switching Models for Linear and Generalized Models by using the EM algorithm.
Details
| Package: | MSwM |
| Type: | Package |
| Version: | 1.0 |
| Date: | 2012-11-13 |
| License: | GPL (>=2.0) |
| LazyLoad: | yes |
| Depends: | methods, nlme, graphics, parallel |
Author(s)
Josep Anton Sanchez Espigares, Alberto Lopez-Moreno
Maintainer: Josep Anton Sanchez Espigares <josep.a.sanchez@upc.edu>
References
Hamilton J.D. (1989). A New Approach to the Economic Analysis of Nonstionary Time Series and the Business Cycle. Econometrica 57: 357-384
Hamilton, J.D. (1994). Time Series Analysis. Princeton University Press.
Goldfeld, S., Quantd, R. (2005). 'A Markov model for switching Regression',Journal of Econometrics 135, 349-376.
Perlin, M. (2007). 'Estimation, Simulation and Forecasting of a Markov Switching Regression', (General case in Matlab).
See Also
Overview: MSwM-package
Classes : MSM.lm, MSM.glm, MSM.fitted
Methods : msmFit,summary,AIC,intervals,msmResid
Plot : plot,plotProb,plotReg,plotDiag