Hi,
I am looking for a package to estimate regime switching models (states
following a markov chain).
I found packages for Hidden Markov Models but I am looking for something a
little different: In the HMM the conditional distribution of the
observations (give the state) is a known distribution (normal or others),
while the package I need should allow to set a conditional distribution
(given the state) which can be still modelled (for example with
mean-reversion or jump diffusion...).
I think the theory under this estimation technique is in "James D. Hamilton,
A New Approach to the Economic Analysis of Nonstationary Time Series and the
Business Cycle (1989)"
Thanks very much for any help!
Valentina Bonetti
Master student at Bocconi University, Milan
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