Markov-Switching Models using MSVARlib (Benoˆıt Bellone )

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MSVARlib 2.0, Markov-Switching Vector Autoregression Library, is an upgraded opensource
basic package designed to model univariate or multivariate regime dependent
time series. Among the available public resources in matrix languages, lots of programs
have spread thanks to the work of Kim and Nelson (1999) and Hamilton (1989), however
most of their routines were not designed in a general multivariate framework, but rather
as specific programs not so easy to be extended.

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关键词：switching MSVARlib Bellone switch models models Using MSVARlib Beno Bellone

感谢楼主，好人。。

http://bellone.ensae.net/

xuehe 发表于 2010-6-16 20:05
http://bellone.ensae.net/

厉害， 之前下载了没用，现在写论文想再用一下这个方法，不知道是不是已经过时了