Search found 4 matches
- Thu May 05, 2011 9:19 am
- Forum: Estimation
- Topic: Markov switching model
- Replies: 30
- Views: 56053
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 ...
- Mon May 02, 2011 4:10 pm
- Forum: Estimation
- Topic: Markov switching model
- Replies: 30
- Views: 56053
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 ...
- Mon May 02, 2011 10:01 am
- Forum: Program Repository
- Topic: .PRG for Kalman Filter
- Replies: 1
- Views: 9888
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...
- Mon May 02, 2011 9:44 am
- Forum: Estimation
- Topic: beveridge nelson decomposition
- Replies: 2
- Views: 5827
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
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