IRFs with MS-VAR

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CNR15
Posts: 26
Joined: Thu Sep 16, 2021 7:06 am

IRFs with MS-VAR

Postby CNR15 » Wed Feb 07, 2024 12:12 pm

Hi - I am estimating a two state Markov Switching VAR. Is it possible to compare IRF in State 1 versus State 2 as I am only seeing one set or response when graphed.

Thanks,

CNR
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EViews Glenn
EViews Developer
Posts: 2672
Joined: Wed Oct 15, 2008 9:17 am

Re: IRFs with MS-VAR

Postby EViews Glenn » Wed Feb 07, 2024 12:54 pm

Are your lag coefficients regime-specific? If they are not, then the impulse-responses are not regime-specific. If they are, then you will see a spool with the IRs for each regime.
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CNR15
Posts: 26
Joined: Thu Sep 16, 2021 7:06 am

Re: IRFs with MS-VAR

Postby CNR15 » Thu Feb 08, 2024 4:13 am

Ah, I see. I had forgotten to tick the 'lagged endogenous' box. I am now seeing the two impulses.

Thanks for that Glenn!
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