Hidden Markov Models, Markov Chains, Markov Switching, Markov Auto Regression, Maximum Likelihood.
Switching Auto Regressive (MSAR) model. The Markov Switching Auto Regressive (MSAR) model Consider the following model equation for the monthly unemployment rate: An AR(1) model operating under the influence of a hidden Markov process (Image by Author) Here, we are saying that the unemployment rate