Hidden Markov Models, Markov Chains, Markov Switching, Markov Auto Regression, Maximum Likelihood.
appropriate regime-specific vector β_cap_j from β_cap_s. Hence the name ‘Markov Switching Dynamic Regression model’. The k-state Markov process itself is governed by the following state transition matrix P: The state transition matrix P of the Markov process (Image by Author) And it has the