This is a link that shows how to implement Markov-switch AR model.
However, I want to extend AR model to VAR model. Anyone knows how to do it in python? I appreciate your help.
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BTW, there is a MSVAR package in Ox, very old stuff... – Yuefan Zhu Aug 04 '17 at 17:24
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http://fmwww.bc.edu/ec-p/software/ox/Msvardoc.pdf – Yuefan Zhu Aug 04 '17 at 17:25
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4What have you tried so far? https://stackoverflow.com/help/how-to-ask – whodini9 Aug 04 '17 at 17:32
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There is a msbvar package in R, but I need to be in python... – Yuefan Zhu Aug 05 '17 at 02:32