MSVARmdl_em function

Estimation of Markov-switching vector autoregressive model by EM Algorithm

Estimate Markov-switching vector autoregressive model by EM algorithm. This function is used by MSVARmdl which organizes the output and takes raw data as input.

MSVARmdl_em(theta_0, mdl, k, optim_options)

Arguments

• theta_0: vector with initial values for parameters.
• mdl: List with model attributes.
• k: Integer determining the number of regimes.
• optim_options: List with optimization options.

Returns

List with model results.

References

Dempster, A. P., N. M. Laird, and D. B. Rubin. 1977. “Maximum Likelihood from Incomplete Data via the EM Algorithm.” Journal of the Royal Statistical Society. Series B 39 (1): 1–38.

Krolzig, Hans-Martin. 1997. “The markov-switching vector autoregressive model.”. Springer.