Greetings fellow R entusiasts! We have some problems converting a computer routine written initially for Gauss to estimate a Markov Regime Switching analysis with Time Varying Transition Probability. The source code in Gauss is here: http://www.econ.washington.edu/user/cnelson/markov/programs/hmt_tvp.opt
We have converted the code to R, and it's running without errors, but we have some convergence problems. According to the authors of the Gauss code, the initial guess for the Transition Matrix (probability of going from one regime to the other) could be chosen arbitrary, but unfortunately this is not the case for our R code. Also, we do not have Gauss available to test the original source code. A function used in Gauss is called "optmum", while R has a function called "optim". Are these the same? If not, this might be the cause of our convergence problems. I would be glad to share the R program with anyone interested, as well as the panel data used in the analysis. Best, Jørgen Blystad Houge jorge...@stud.ntnu.no -- View this message in context: http://r.789695.n4.nabble.com/Markov-Switching-with-TVTP-problems-with-convergence-tp3013292p3013292.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
