log-likelihood function markov-switching model

[turana]

Hello Glenn,

Can you please please describe how the maximum likelihood estimation of the coefficient in the markov-swithching models in eviews are calculated (i.e. show me how the log-likelihood fuction looks like) ?

thank you :D

[trubador]

You can see the documentation for technical details. Also, the following (old) code might be of help in understanding the mechanics: http://forums.eviews.com/viewtopic.php?f=4&t=51#p5131

[EViews Glenn]

http://www.eviews.com/help/helpintro.ht ... 043.2.html