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Markov Switching Models for Statsmodels

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How hard to you think it would be to generalize your model to one where you have multiple time series all sharing the same switching factor (like Equation (1) in...

Hey , I am trying to compile setup.py using ' python setup.py build_ext --inplace ' but I get the following error : hamilton_filter.pyx:1:0: 'pymar-master.mar_c.hamilton_filter' is not a valid module name...