I have a Markov switching estimate where if I ask for a graph of the smoothed probabilities the graph is labelled filtered. What's more, if I make series of filtered and smoothed probabilities the reported numbers are identical.
But this only happens for one case, not for others. In the attached file China works fine and Costa Rica exhibits the problem.
...I wish you luck with this one.
Markov switching regime probabilities
Moderators: EViews Gareth, EViews Moderator

 Nonnormality and collinearity are NOT problems!
 Posts: 3484
 Joined: Wed Sep 17, 2008 2:25 pm
Markov switching regime probabilities
 Attachments

 pwt81.wf1
 (3.64 MiB) Downloaded 66 times

 Nonnormality and collinearity are NOT problems!
 Posts: 3484
 Joined: Wed Sep 17, 2008 2:25 pm
Re: Markov switching regime probabilities
further (smaller) bug: "regime" is misspelled when a regime probability series is created
Code: Select all
Smoothed probability of regieme 2, from equation SPAINAR

 EViews Developer
 Posts: 2604
 Joined: Wed Oct 15, 2008 9:17 am
Re: Markov switching regime probabilities
We'll fix the typo.
The estimated equation for Costa Rica is a simple switching model, not a Markov switching model so different period probabilities are unrelated.
The estimated equation for Costa Rica is a simple switching model, not a Markov switching model so different period probabilities are unrelated.

 Nonnormality and collinearity are NOT problems!
 Posts: 3484
 Joined: Wed Sep 17, 2008 2:25 pm
Re: Markov switching regime probabilities
Thanks for the substantive catch

 EViews Developer
 Posts: 2604
 Joined: Wed Oct 15, 2008 9:17 am
Re: Markov switching regime probabilities
From an interface point of view I thought that perhaps I should find a place to warn people of this possibility, but it wasn't obvious where to put in the graphical output. Perhaps we should simply disallow smoothing as an option in the simple switching case as I can see why this may be confusing.

 Nonnormality and collinearity are NOT problems!
 Posts: 3484
 Joined: Wed Sep 17, 2008 2:25 pm
Re: Markov switching regime probabilities
Yeah, I think that would be a good idea. It's definitely weird to choose smoothed and get a graph labeled filtered.

 EViews Developer
 Posts: 2604
 Joined: Wed Oct 15, 2008 9:17 am
Re: Markov switching regime probabilities
It's a moderately big change to alter the interface to restrict this and I'm inclined not to do it at this time. What I'll do for now is to expand the labeling of the output so that it's clearer the model that was estimated. For example "Simple Switching Filtered/Smoothed" and "Markov Switching Filtered", "Markov Switching Smoothed", etc. I think that will make things obvious in situations like those described here.

 Nonnormality and collinearity are NOT problems!
 Posts: 3484
 Joined: Wed Sep 17, 2008 2:25 pm
Re: Markov switching regime probabilities
Makes sense.
Who is online
Users browsing this forum: No registered users and 1 guest