Markov Switching Model - Regime classification measure (RCM)
Posted: Tue Jul 17, 2018 4:05 am
Hi,
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?
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?