Hidden Markov Models, Markov Chains, Markov Switching, Markov Auto Regression, Maximum Likelihood.
states [1,2,…,j,…,k], β_cap_s is a matrix of size [(m+1) X k] as follows: The coefficients matrix of size [(m+1) x k] (Image by Author) The central idea is that depending on which Markov state or ‘regime’ j in [1, 2,…,k] is currently in effect, the regression model coefficients will switch to the