Am 02.06.2021 um 11:01 schrieb Sven Schreiber:
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.)
The package is work in progress, but already comes with quite
documentation. There are surely still a bunch of bugs in there, but in
principle it should hopefully be usable.
Hello, a new version (0.22) of MSVAR is available now. It fixes a couple
of bugs, for example now it should be possible to use just a single lag,
or even no lags. I was made aware of this by a user report, which shows
again that feedback and testing by users is very important and always
There had also been a quite severe problem when specifying more than two