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Funny state switching

Posted: Mon Aug 05, 2019 12:52 pm
by startz
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?
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Re: Funny state switching

Posted: Thu Sep 12, 2019 4:44 pm
by EViews Glenn
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?

Re: Funny state switching

Posted: Thu Sep 12, 2019 5:45 pm
by startz
Just the mean.

Re: Funny state switching

Posted: Thu Sep 19, 2019 8:25 am
by EViews Glenn
Have to think about this. Can you send me the workfile?