How retrieve AR coeffecients in Markov model (MSIAH)

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

M_ShabeebEviews
Posts: 2
Joined: Thu Jun 29, 2017 7:24 am

How retrieve AR coeffecients in Markov model (MSIAH)

Postby M_ShabeebEviews » Thu Jun 29, 2017 12:13 pm

How to retrieve regime specific AR coefficients while estimating a univariate Markov regime switching model?

please refers to Table I. Univariate regime switching models for stock and bond returns of An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and BondReturns by Massimo Guidolin and Allan Timmermann (2006) for additional info.

EViews Glenn
EViews Developer
Posts: 2671
Joined: Wed Oct 15, 2008 9:17 am

Re: How retrieve AR coeffecients in Markov model (MSIAH)

Postby EViews Glenn » Sat Jul 01, 2017 8:04 am

Have you estimated the model already?

M_ShabeebEviews
Posts: 2
Joined: Thu Jun 29, 2017 7:24 am

Re: How retrieve AR coeffecients in Markov model (MSIAH)

Postby M_ShabeebEviews » Sun Jul 02, 2017 10:32 pm

Hello Glenn,

Yes, I have. I am a noob and thus I'm not sure the extent to which my estimation is accurate.

I am following a study that is very much similar to https://doi.org/10.1016/j.pacfin.2013.12.003 and is required to conduct a univariate and multivariate Markov regime switching estimations. I have attached a screenshot of parameters I've set while estimating and haven't tinkered with the option tab. The Independent variables used are the same as of the journal mentioned above. The dependent variable is percentile return on stock market of 6 GCC countries. {In picture, KSA (Ticker: TASI).}

Also, how do I conduct the Regime classification measure (RCM) Test and Davies test on Eviews? I could not find any link for help.

Furthermore, I sometimes get ' NA ' for 'for Std. Error, z-Statistic and Prob. on estimation with 3,4-State MSIAH with AR(1) for some countries. I also got 'NA on a 2-State MSIAH with AR(1) [it only had 107 estimations tho].

Thank you!
Attachments
Univariate Non AR .png
Parameters set for Univariate Non-AR estimation
Univariate Non AR .png (88.21 KiB) Viewed 4141 times
Univariate .png
Parameters set for Univariate estimation
Univariate .png (93.64 KiB) Viewed 4141 times
MultiVariate.png
Parameters set for Multivariate estimation
MultiVariate.png (103.15 KiB) Viewed 4141 times

EViews Glenn
EViews Developer
Posts: 2671
Joined: Wed Oct 15, 2008 9:17 am

Re: How retrieve AR coeffecients in Markov model (MSIAH)

Postby EViews Glenn » Wed Jul 05, 2017 5:11 pm

Still not sure what the question is...

The coefficients of the model are available in the usual way as an @coefs data member off of the estimated equation.

The only classification measures we report at the regime probabilities, which you can use in various ways to compute various RCMs. The tests to which you refer are not built-in, nor is the Cho-White test.

The singularities you report are common with MS models. One often has to play around with starting values, but even so, some models are not be easily estimable.


Return to “Estimation”

Who is online

Users browsing this forum: Google [Bot] and 28 guests