I am looking into estimating a markov regime switching model with time varying probs. Please help me if you know a simpler way to estimate such model.
Markov Regime Switching Regression Models - Time Varying Probabiliites
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You can easyily implement this model with MarSwitching.jl package in Julia language: https://github.com/m-dadej/MarSwitching.jl
Just use:
model = MSModel(y, k, exog_tvtp = df)whereyis target variable,kis number of states anddfis a variable explaining the process of transition probabilities.