Search found 5 matches

by smile
Sun Jun 01, 2014 12:47 am
Forum: Estimation
Topic: Markov Switching Regime
Replies: 9
Views: 11328

Re: Markov Switching Regime

Sorry,i didn‘t catch it completely.
You mean using the following commands to generate series G1 for state 1 and G2 for state 2,then calculate the mean of G1 and G2?
For example, supposed the series G1 may be 1,4,9 and 10,then the mean for state 1 is:(1+4+9+10)/4=6, Is it right ?
by smile
Fri May 30, 2014 4:40 am
Forum: Estimation
Topic: Markov Switching Regime
Replies: 9
Views: 11328

Re: Markov Switching Regime

Thank you very much for your detailed reply,most of my doubt has been solved,except the following: you have said “We give the specifications for the conditional means in each state in the representations view. You'll have to grab them from there and compute them.”,but i see the representation and di...
by smile
Wed May 28, 2014 6:26 pm
Forum: Estimation
Topic: Markov Switching Regime
Replies: 9
Views: 11328

Re: Markov Switching Regime

Sorry, i didn't describe it clearly. 1、For the first question,i mean calculate the mean mu(m) for every state? Because in Hamilton‘s example,it gave the mean of every state. 2、"in the first edit field you enter the dependent variable followed by regime specific variables",this was picked u...
by smile
Sun May 25, 2014 7:47 pm
Forum: Estimation
Topic: Markov Switching Regime
Replies: 9
Views: 11328

Markov Switching Regime

For help ,i have three questions when using eviews 8 to estimate Markov Switching Regime model : 1、how can i calculate the mean μ(m)? 2、why do it must enter constant C followed the dependent variable in the first edit field ? 3、if i only enter constant C followed the dependent variable in the first ...
by smile
Wed Apr 09, 2014 7:09 am
Forum: Estimation
Topic: Markov Switching Regime: volatility value in the regimes?
Replies: 9
Views: 12441

Re: Markov Switching Regime: volatility value in the regimes

hi,two question: 1,what's the meaning of “log(sigma)” in the estimation output? 2,In Hamilton (1989) the writer Reports the two regimes' results. This report includes: each regime's mean return and each regime's error variances,namely volatility. How can i get the error variances in eviews 8? Thank ...

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