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Markov-Switching Dynamic Regression Model

Discrete-time Markov model containing switching state and dynamic regression submodels

Functions

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msVARCreate Markov-switching dynamic regression model
dtmcCreate discrete-time Markov chain
arimaCreate univariate autoregressive integrated moving average (ARIMA) model
varmCreate vector autoregression (VAR) model
estimateFit Markov-switching dynamic regression model to data
filterFiltered inference of operative latent states in Markov-switching dynamic regression data
smoothSmoothed inference of operative latent states in Markov-switching dynamic regression data
simulateSimulate sample paths of Markov-switching dynamic regression model
forecastForecast sample paths from Markov-switching dynamic regression model