ARMA Markov Switching Model

General
#1

Hello,

I am trying to find if there is a way to fit an ARMA Markov Switching Model to my data. I'm not looking for a specific solution to my data, but I would appreciate it if there is accessible information on this topic or some examples. I have tried the "MSwM" package function - msmFit. The function allows me to add autoregressive coefficients with the variable "p", but I have trouble finding a way to implement the moving average coefficients. So, if anyone knows how to add the MA coefficients, that would be a huge help. Otherwise, it seems that R functions only allow making Markov Switching AR models, or VAR models.

Any help would be appreciated!

#2

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