Help with msvar estimate function - Initializing the MS-VAR Model
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Hi,
The "estimate" function in the msvar package calls for a fully-specified MS-VAR model to initialize the estimation procedure. How would one go about choosing the values to initialize the model with? The documentation suggests running the estimation with a broad range of values to cover the parameter space, but I don't see much guidance beyond that.
Thanks in advance!
2 Comments
Leonardo Urrutia
on 3 Dec 2020
I am struggeling with this too. Have you got any answer already?
Jacob Haas
on 25 Jan 2021
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on 31 Jul 2020
on 25 Jan 2021
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