Estimating Markov Switching model using Gibbs sampling
نویسنده
چکیده
The objective of this paper is to provide readers with the program to estimate a Markov switching model with time varying transition probability(Filardo, 1994) by using a statistical computing software R. Although many of the previous studies estimating the model have conducted the estimation by the maximum likelihood estimation, this paper utilizes Gibbs sampling method. Using Gibbs sampling method enables us to estimate more complicated models which are impossible or difficult to be estimated by the maximum likelihood estimation.
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تاریخ انتشار 2008