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1. WG: Finmetrics 2.0: Markov Switching AR Model (score: 1)
Author: Adrian Lerch <adrianlerch@yahoo.de>
Date: Mon, 3 Oct 2005 21:16:03 +0200 (CEST)
As I heard this problem can be solved by using the general function SsfFitMS(). Adrian From: s-news-owner@lists.biostat.wustl.edu [mailto:s-news-owner@lists.biostat.wustl.edu] On Behalf Of Adrian Ler
/archives/html/s-news/2005-10/msg00003.html (8,383 bytes)

2. Finmetrics 2.0: Markov Switching AR Model (score: 1)
Author: Adrian Lerch <adrianlerch@yahoo.de>
Date: Fri, 30 Sep 2005 20:28:49 +0200 (CEST)
I would like to estimate a Markov Switching Model with no autoregressive coefficient (AR(0)), but with intercept terms that are regime switching. Regarding the Function MSAR(), I can't figure out ho
/archives/html/s-news/2005-09/msg00106.html (6,957 bytes)

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