Markov Switching Models

For econometric discussions not necessarily related to EViews.

Moderators: EViews Gareth, EViews Moderator

Kahn
Posts: 8
Joined: Sun Apr 10, 2016 6:29 am

Markov Switching Models

Postby Kahn » Wed Aug 03, 2016 6:05 am

Hello,

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.

Thanks,

Kahn
Attachments
Test.xlsx
(63.07 KiB) Downloaded 82 times

Return to “Econometric Discussions”

Who is online

Users browsing this forum: No registered users and 3 guests