Probable bug with Markov switching transition matrix
Moderators: EViews Gareth, EViews Moderator
-
- Non-normality and collinearity are NOT problems!
- Posts: 3775
- Joined: Wed Sep 17, 2008 2:25 pm
Probable bug with Markov switching transition matrix
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
- (29.12 KiB) Downloaded 260 times
-
- EViews Developer
- Posts: 2672
- Joined: Wed Oct 15, 2008 9:17 am
Re: Probable bug with Markov switching transition matrix
Not yet convinced it's a bug I get singularity for these data with 1e-10 and 1-1e-10.
-
- Non-normality and collinearity are NOT problems!
- Posts: 3775
- Joined: Wed Sep 17, 2008 2:25 pm
Re: Probable bug with Markov switching transition matrix
That's reasonable evidence. I still wonder whether there's an overflow or something internally that might be catchable.
-
- EViews Developer
- Posts: 2672
- Joined: Wed Oct 15, 2008 9:17 am
Re: Probable bug with Markov switching transition matrix
Worth taking a look when I get a chance.
Who is online
Users browsing this forum: No registered users and 45 guests