Search found 4 matches

by Abraham Vela
Thu May 05, 2011 9:19 am
Forum: Estimation
Topic: Markov switching model
Replies: 30
Views: 35490

Re: Markov switching model

Dear Donihue: You are correct. I made a mistake in the signs. (Jesus, maybe I need glasses!). I have already corrected them in my former post. Now, you refer only to the intermediate steps needed to arrive to the actual (final, aggregate) fitted value. It shall not be overlooked. I have graphed all ...
by Abraham Vela
Mon May 02, 2011 4:10 pm
Forum: Estimation
Topic: Markov switching model
Replies: 30
Views: 35490

Re: Markov switching model

It is very simple. In fact you already have the residuals. Anyway, since you have coefficients for each state, compute the fitted value for each: series fity1 = mu(1))+beta(1)*(y(-1) - mu(1)) series fity2 = mu(2))+beta(2)*(y(-1) - mu(2)) Then the fitted value is: series fity=pr1*fity1+pr2*fity2 Now ...
by Abraham Vela
Mon May 02, 2011 10:01 am
Forum: Program Repository
Topic: .PRG for Kalman Filter
Replies: 1
Views: 7202

Re: .PRG for Kalman Filter

I guess you do not need a PRG file to do this. Actually, you shall be able to do it in a spreadsheet such as Excel! For your benefit, Eviews has built-in state-spece specifications for kalman Filtering. Therefore, it must be straightforward to replicate the paper by Stock and Watson. May be what you...
by Abraham Vela
Mon May 02, 2011 9:44 am
Forum: Estimation
Topic: beveridge nelson decomposition
Replies: 2
Views: 3626

Re: beveridge nelson decomposition

I hope the follwowing is useful. It contains B-N workfile and program to carry on the decomposition.

http://docentes.fe.unl.pt/~lcnunes/cour ... mples.html

You shall thank prof. Cnunes and ask for his permission to use the eviews code.

Good luck,
Abe

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