[Gretl-users] package announcement: MSVAR

Hi everybody, just a note that since last week or so there's a new contributed function package on the gretl package server, namely MSVAR(.zip). As you may guess from the name it does Markov-Switching VAR estimation. (Frequentist, not Bayesian.) I am very grateful to the author of the original Gauss code, Anders Warne, that he continues to make his code available. Of course as the package author I am responsible for any mistakes, but I haven't really developed the algorithm or implementation per se. The package is work in progress, but already comes with quite extensive documentation. There are surely still a bunch of bugs in there, but in principle it should hopefully be usable. As explained in the documentation, this package can be driven by hansl scripting (of course) but also via the GUI by attaching it to the menus of the regular VAR model window during installation: So you would first estimate a plain old VAR, and then go to the Edit window to find MSVAR there and switch over to a switching model. See some of you tomorrow at the virtual gretl workshop! cheers sven