initVals_MSVARXmdl function

Initial values for Markov-switching VARX model

This function generates a random parameter vector to be used as initial values for a Markov-switching VARX model.

initVals_MSVARXmdl(mdl, k)

Arguments

• mdl: List with parameter values of simple (one-regime) VARX model. This includes:

  • phi: Matrix autoregressive coefficients.
  • mu: Vector of means.
  • betaZ: vector of coefficients for exogenous regressors
  • sigma: Covariance matrix.
  • msmu: Boolean indicator. If TRUE, mean is function of markov process. If FALSE, mean is constant across regimes.
  • msvar: Boolean indicator. If TRUE, standard deviation is function of markov process. If FALSE, standard deviation is constant across regimes.

• k: Number of regimes.

Returns

Vector of initial parameter values.