Markov Switching Model - Regime classification measure (RCM)

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Markov Switching Model - Regime classification measure (RCM)

Postby shabkom » Tue Aug 28, 2018 1:42 am


I am doing my thesis using Markov switching model. But I encounter a problem on how to use the regime classification measure (RCM) proposed by Ang and Bekaert (2002) to determine the accuracy of the Markov regime-switching models

How do I conduct the Regime classification measure (RCM) Test on Eviews? I could not find any link for help. Are there any add-in or programming which I can use to test it using E Views

Could you please help me how to run that measure?

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