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mpiktas / midasr

R package for mixed frequency time series data analysis.
http://mpiktas.github.io/midasr/
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markov-switching midas models #82

Closed sadrzadehsaeed closed 2 years ago

sadrzadehsaeed commented 2 years ago

hi I want to estimate a Markov-switching MIDAS model in R i read the midas_r package and search and read articles about MIDAS Models Over the past two months, But I know I'm still a beginner so Can anyone help me to write this code? I can estimate my MIDAS model but I don't how to import regime (two regime - Markov) on the R code midas_r tank you

vzemlys commented 2 years ago

Currently this is not implemented in midasr package.

sadrzadehsaeed commented 2 years ago

Tank you Do you know how I can estimate this Model?

sadrzadehsaeed commented 2 years ago

Hi Sorry for open this issue again Can i estimat MIDAS with midasr and save to equ1 (for example) and then use MswM package for Markov?