Markov Regime Switching Regression Models - Time Varying Probabiliites

Question

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.

Answer 1

This paper might answer your needs.

Answer 2

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) where y is target variable, k is number of states and df is a variable explaining the process of transition probabilities.