[R] multivariate markov switching

Dear helpers, Does anyone know about a package or a function that allows to estimate Multivariate Markov-Switching Models, like MS-VAR as introduced by Krolzig(1997) with R ? Thanks a lot!! Carlo __ R-help@stat.math.ethz.ch mailing list https://stat.e

Re: [R] cointegration rank

Another question on cointegration... Is it possible to insert in the model dummy variables restricted in the cointegration space? Many thanks, Carlo On Nov 21, 2005 01:23 PM, "Pfaff, Bernhard Dr." <[EMAIL PROTECTED]> wrote: > Thanks a lot! > > I have another question on "cointegration", so I

Re: [R] cointegration rank

Thanks a million! Carlo On Nov 21, 2005 01:23 PM, "Pfaff, Bernhard Dr." <[EMAIL PROTECTED]> wrote: > Thanks a lot! > > I have another question on "cointegration", so I will go on this post. > > Is it possible to estimate a cointegration with some exogenous > explanatory variables? Since, after

Re: [R] cointegration rank

Thanks a lot! I have another question on "cointegration", so I will go on this post. Is it possible to estimate a cointegration with some exogenous explanatory variables? Since, after testing for exogeneity, I would like to re-estimate the relation keeping some of the previous endogenous as exoge

[R] cointegration rank

Dear R - helpers, I am using the urca package to estimate cointegration relations, and I would be really grateful if somebody could help me with this questions: After estimating the unrestriced VAR with "ca.jo" I would like to impose the rank restriction (for example rank = 1) and then obtain the

[R] Garch in a model with explanatory variables

Dear helpers, does anyone know a function to fit a model with: - y mean that is regressed on a set of explanatory variables - y variace behaving as a garch or as a garch in mean Thank you so much for your help, Carlo __ R-help@stat.math.ethz.ch mai

[R] problems with the fitted values of the function gls

wrong, because I don’t think that the function should behave in this way, but I don’t understand what. Thank you so much for your help, Carlo Fezzi __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the p

[R] maximum likelihood standard deviation

error? Is there a function that I can use to calculate the second derivate of the likelihood function respect to the vector of parameters? Thank you so much for your help, Carlo Fezzi __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailma

[R] prediction using gls with correlated residuals

the information about the residual correlation to improve predictions? How can I overcome this problem? Thank you so much for your help, Carlo Fezzi __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read t