MSBVAR (version 0.7-1)

simulateMSAR: Simulate (univariate) Markov-switching autoregressive (MSAR) data

Description

Simulate (univariate) Markov-switching autoregressive (MSAR) data

Usage

simulateMSAR(bigt, Q, theta, st1, y1)

Value

A list with two elements:YThe simulated univariate MSAR time seriesstA vector of integers identifying the regime of each observation in Y

Details

This function simulates a univariate MSAR model. The user needs to input the transition matrix $Q$ and the autoregression coefficients via $theta$. The assumption in this model is that the error process is Gaussian.

References

Kim, Chang-Jin and Charles R. Nelson. 1999. State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications. Cambridge: MIT Press.

See Also

simulateMSVAR for the multivariate version

Examples

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