Funny state switching

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startz
Non-normality and collinearity are NOT problems!
Posts: 3497
Joined: Wed Sep 17, 2008 2:25 pm

Funny state switching

Postby startz » Mon Aug 05, 2019 12:52 pm

Here's a snippet of a switching regression, simple switching on postwar GDP growth. Note that the standard error of the regression is larger than the standard deviation of the dependent variable. Is that odd?
Capture.PNG
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EViews Glenn
EViews Developer
Posts: 2615
Joined: Wed Oct 15, 2008 9:17 am

Re: Funny state switching

Postby EViews Glenn » Thu Sep 12, 2019 4:44 pm

Hard to say. The switching objective is very different from the simple minimum sums-of-squares that you get in the standard case.

What is regime specific in your model?

startz
Non-normality and collinearity are NOT problems!
Posts: 3497
Joined: Wed Sep 17, 2008 2:25 pm

Re: Funny state switching

Postby startz » Thu Sep 12, 2019 5:45 pm

Just the mean.

EViews Glenn
EViews Developer
Posts: 2615
Joined: Wed Oct 15, 2008 9:17 am

Re: Funny state switching

Postby EViews Glenn » Thu Sep 19, 2019 8:25 am

Have to think about this. Can you send me the workfile?


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