Markov-Switching Dynamic Regression Model
Discrete-time Markov model containing switching state and dynamic regression submodels
Functions
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Create Model
msVAR | Create Markov-switching dynamic regression model |
dtmc | Create discrete-time Markov chain |
arima | Create univariate autoregressive integrated moving average (ARIMA) model |
varm | Create vector autoregression (VAR) model |
Fit Model to Data
estimate | Fit Markov-switching dynamic regression model to data |
Infer Latent States
filter | Filtered inference of operative latent states in Markov-switching dynamic regression data |
smooth | Smoothed inference of operative latent states in Markov-switching dynamic regression data |
Generate Monte Carlo Simulations
simulate | Simulate sample paths of Markov-switching dynamic regression model |
Generate Minimum Mean Square Error Forecasts
forecast | Forecast sample paths from Markov-switching dynamic regression model |