Predicting Future Values of Time Series

I am using the "MSwM" package in R to use "Markov Switching Models" for the purpose of Time Series Analysis and Forecasting.

I was reading the official documentation for this R package:

As well as the supplementary example material:

My Question: Neither of these documents seem to contain any information as to how the models from this package can be used to predict future values of the time series. Is it in fact possible to use this package to directly forecast future values of the time series?


1 Like

Note: I found a related question on Stackoverflow that also asks how to forecast future values of a time series using the same type of model that I am using (r - How to forecast a Markov Switching Model - Cross Validated) . It seems like mathematically this might be possible - but I am not sure if there is a way to do this in R using the "MSwM" package. Does anyone know how to do this?

1 Like

This topic was automatically closed 21 days after the last reply. New replies are no longer allowed.

If you have a query related to it or one of the replies, start a new topic and refer back with a link.