MSVARlib is a new open source Gauss library to estimate Multivariate Markov-Switching regression Models in their most generic specification. These new programs are based upon the works of Hamilton (1994) and Krolzig (1998) and allow assessment of models with M states through classical optimization of the maximum likelihood method. The modular architecture of the program is presented in a first part. It has been designed to allow new improvements (generalized non linear MS models or enhancement to a Bayesian framework).
References in zbMATH (referenced in 1 article )
Showing result 1 of 1.
- Kwon, Roy H.; Li, Jonathan Y.: A stochastic semidefinite programming approach for bounds on option pricing under regime switching (2016)