Probabilities in a 3-states Markov switching

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Aktar
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Joined: Thu May 21, 2009 5:08 am

Probabilities in a 3-states Markov switching

Postby Aktar » Thu Oct 20, 2016 5:43 am

Hi,

I would like to know how is computed the transition probabilities from the estimates of a 3-states Markov-sSwitching models?
In a 2-states model, the computation is simple --> Prob11=exp(coef.p11)/(1+exp(coef.p11) and Prob 12 = 1-Prob 11. I don't find the formula in the case of a 3-states MS model.

Thank you very much.
Aktar

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