MSSETUP (General Markov Switching Setup)

[TomDoan]

This is a replacement for the procedures in MARKOV.SRC for generic Markov Chain/Markov Switching model support functions. It now permits the transitions to be either an N-1 x N matrix with the free values only for estimation by MAXIMIZE, or a full N x N matrix, which is easier to use for EM or Gibbs sampling. It also includes handling of augmented sets of regimes due to dependence upon lags that was previously only available for MS-VAR's, but is needed for other types of models as well.

mssetup.src

General Markov Switching support - requires RATS 8.0 or later

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@MSSetup(states=# of states,lags=# of lags)

The LAGS option is only required if the likelihood at t depends directly upon the regimes not just at t, but also at t-1,...,t-lags. (The default for LAGS is 0).