Dear All,
I am currently trying to use the Markov Switching Models(MSwM) package in
R.I am not sure as to how to use the switch parameter. From what I
understand, switch is a boolean vector which says what parameters are
regime dependent.
My confusion is that what is the order of the parameters when I say switch
= rep(TRUE,6) ? For instance what are parameters 1/2/3 ?
The first parameter is probably the regime dependent intercept. The last
parameter I think will be regime dependent variance.
Can someone please show me how I can code the following equation?
y_t =mu_{S_t} + Phi_{S_t, 1 } * ( y_{t-1} - mu_{S_{t-1} } ) + sigma_{S_t}
* epsilon_t
where epsilon_t is N(0,1).
Is parameter 2 corresponding to Phi_{S_t,1} or mu_{S_{t-1}} ?
Best Regards,
Ashim
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