Hi Diego, This can certainly be done in gretl, but you'll have to program it yourself. There's no built-in Markov Switching functionality at the moment, and as far as I know nobody's made a function package available for it.
As I recall, some of the Gauss code for Kim & Nelson's book deals with a 3-state model. I've found gretl's scripting language (hansl) similar enough to Gauss (or Matlab) that it's pretty straightforward to port one to the other. I hope this helps! Peter Sent from my iPad > On Feb 12, 2015, at 3:24 PM, Diego Fernández <dgfernandez2010(a)gmail.com> > wrote: > > Hi dear gretel users, > > I need to work with Markov Switching Models with time varying probabilities > so as to predict a variable. Is possible to work in gretl? > > I have a program in Eviews language but it has only two states and I would > like to work with three or more. > > Thanks > > > -- > Diego Fernández > Magister en Economía > Facultad Ciencias Económicas > Montevideo Uruguay > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users
