WG: Finmetrics 2.0: Markov Switching AR Model

To:	s-news@lists.biostat.wustl.edu
Subject:	WG: Finmetrics 2.0: Markov Switching AR Model
From:	Adrian Lerch <adrianlerch@yahoo.de>
Date:	Mon, 3 Oct 2005 21:16:03 +0200 (CEST)
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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 Lerch
Sent: Friday, September 30, 2005 11:29 AM
To: s-news@lists.biostat.wustl.edu
Subject: [S] Finmetrics 2.0: Markov Switching AR Model

Hallo

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 how to specify the AR(0) part. Does anyone know how this can be done with Finmetrics 2.0?

Thanks for any help.

Regards

Adrian

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