Dear R-helpers,
I was wondering if anyone has or knows someone who might have an implementation
of algorithm for estimating SETAR models including the lag-order. For some
reason my code gives me a bit wrong results. I am fighting with it for a week
and cannot bring it down.
Thanks a million in
Dear R-helpers,
I am trying to estimate a model that I am proposing, which consists of putting
an extra hidden layer in the Markov switching models. In the simplest case the
S(t) - Markov states - and w(t) - the extra hidden variables - are independent,
and w(t) is constant. Formally the model
