Hi Diego,
This can certainly be done in gretl, but you'll have to program it yourself.
There's no built-in Markov Switching functionality at the moment, and as far as I know
nobody's made a function package available for it.
As I recall, some of the Gauss code for Kim & Nelson's book deals with a 3-state
model. I've found gretl's scripting language (hansl) similar enough to Gauss (or
Matlab) that it's pretty straightforward to port one to the other.
I hope this helps!
Peter
Sent from my iPad
On Feb 12, 2015, at 3:24 PM, Diego Fernández
<dgfernandez2010(a)gmail.com> wrote:
Hi dear gretel users,
I need to work with Markov Switching Models with time varying probabilities so as to
predict a variable. Is possible to work in gretl?
I have a program in Eviews language but it has only two states and I would like to work
with three or more.
Thanks
--
Diego Fernández
Magister en Economía
Facultad Ciencias Económicas
Montevideo Uruguay
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