HELP! Anyone knows how to implement Markov Switching Vector AR in python?

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yz2...@columbia.edu

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Aug 4, 2017, 1:38:34 PM8/4/17

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This is a good example for MS-AR model in python:

http://www.chadfulton.com/topics/markov_autoregression.html#markov-switching-autoregression-models

I am wondering how I can implement MS-VAR model in python. I really appreciate your help! Thanks!

Chad Fulton

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Aug 4, 2017, 9:55:46 PM8/4/17

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We do not have the MS-VAR model built in yet, so you would have to create it yourself.

The good news is that the pattern is very similar to the MS-AR case, except that building the likelihoods for all of the regime combinations is a little more complicated due to the extra dimensions. But once you have the likelihoods, the existing Hamilton filter and Kim smoother would be used just like they are in the MS-AR case.