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I would like to ask another question about the mean as I'm still a bit confused... When I calculate the unconditional exectation of series y following such a MS-DR(2) process, I get E(y)=E(c_st)/(1-phi), where E(c_st)=c0*P(S=0)+c1*P(S=1) = (c1-c0)*P(S=1) + c0 = (c1-c0)*(1-p_00)/(2-p_11-p_00) +c0 p_i...

Indeed, thanks a lot.

Hello, I'm using Eviews 8 to estimate a MS-AR(2) model with a switching constant and variance on centered data: yt=c_st+phi*yt(-2) +epsilon_st The estimation works fine, but when I check the mean of the adjusted explained variable, I get something different form 0 (0.21). It seems strange that the m...

Hello, This is probably a stupid question, but I'd like to clarify how to set the User defined initial values of the parameters. I try to estimate a markov switching model with two regimes, switching constant and sigma and a non-switching lag. The output that I get is: Dependent Variable: PC Method:...