Author: Adrian Vrabie
I really like the lecture on Markov Chain and the sait in general! Great material and nicely put!
Yet, I cannot help but wonder How did Hamilton estimate the Transition Probability Matrix? Is it through MLE, or did he use the Tauchen method which is basically a frequentist approach? In any case, it would be nice to be able to replicate it in Python or Julia.
Secondly, It would be really nice to have some Python or Julia code that deal with Hidden Markov Models and their uses in Economics.