Probable bug with Markov switching transition matrix

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startz
Non-normality and collinearity are NOT problems!
Posts: 3504
Joined: Wed Sep 17, 2008 2:25 pm

Probable bug with Markov switching transition matrix

Postby startz » Thu May 19, 2016 10:09 am

There may be a bug when transition probabilities in a Markov switching model are restricted to one. In the attached file, equation ChinaAR essentially "doesn't work" with transition probabilities for state 2 restricted to 0,1. If the restriction is changed to 0.001,0.999 it works fine.
Attachments
china.WF1
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EViews Glenn
EViews Developer
Posts: 2620
Joined: Wed Oct 15, 2008 9:17 am

Re: Probable bug with Markov switching transition matrix

Postby EViews Glenn » Fri May 20, 2016 11:49 am

Not yet convinced it's a bug :) I get singularity for these data with 1e-10 and 1-1e-10.

startz
Non-normality and collinearity are NOT problems!
Posts: 3504
Joined: Wed Sep 17, 2008 2:25 pm

Re: Probable bug with Markov switching transition matrix

Postby startz » Fri May 20, 2016 11:59 am

That's reasonable evidence. I still wonder whether there's an overflow or something internally that might be catchable.

EViews Glenn
EViews Developer
Posts: 2620
Joined: Wed Oct 15, 2008 9:17 am

Re: Probable bug with Markov switching transition matrix

Postby EViews Glenn » Fri May 20, 2016 5:05 pm

Worth taking a look when I get a chance.


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