I am very new to studying Markov Regime Switching Models however require urgent help and would appreciate any help. Basically, when i estimate a switching model in Eviews for stock return data, I get decent estimates for the S&P 500. However, when I do the same for the FTSE Kuwait index I get very strange results.
The steps I am taking are as follows:
1) Import data from excel spreadsheet (attached)
2) Quick --> Estimate Equation --> Switching Regression
3) Put the dependent variable as either rs_p_500 or rftse_kuwait
4) have no non-switching regressors and tick the regime specfic error variances box
5) Under switching specification I choose "Markov" and keep the number of regimes as 2
6) Click ok.
Please provide any guidance possible.
For econometric discussions not necessarily related to EViews.
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