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Hi everyone, Following Hamilton "Why You Should Never Use the HP Filter" (2017) I am estimating output gap using a simple OLS regression on (log) Real GDP and taking the residuals as a regressor in a second-step regression. Consider a first-step dynamic regression on x(t): x(t+h) = c + x(t...

Hi Glenn, Is it still possible to use the switchreg command with the option IF crossid="countryname" in a panel dataset workfile? I aim to estimate Dynamic Markov switching regression on a country-by-country analysis, and thus I'm wondering whether I should create a workfile for each count...

Hello everyone, I'm refreshing this topic. I am trying to build a time serie for "permanent" military spending, following Robert Barro (1981, 1986, 1987). Here's the definition: \overline{g}_{t} = (1 - \rho) \sum_{s = 0}^{T} \rho^s \mathbb{E}_t g_{t+s} where g_t is military spending/GDP. B...

Thanks for your replies. Marcelo Perlin's MS_Regress Matlab package ( https://sites.google.com/site/marceloperlin/matlab-code/ms_regress---a-package-for-markov-regime-switching-models-in-matlab ) can estimate constrained MS regressions. But I cannot connect my Eviews (Student version) to Matlab to u...

While there isn't a general procedure, it's usually possible to impose linear restrictions manually by substitution. In your example, wherever c(1) appears substitute a*c(2). I just can't see how to do it in a Markov-switching model framework. That would be easy implementable if I had to declare ma...

Linear restrictions such that c(1) = a * c(2).
I know I can do it through Student and Wald tests, but I'd like to compare these results to a likelihood ratio test.
More generally I was asking if there is any procedure to estimate a constrained MS regression.
Thanks for your answer.

Hi, I am currently working on EV 8 Student (MacOS), and I try estimating Markov Switching models. Beside t-test and Wald test, I would estimate a MS model with linear constraints in order to do a likelihood ratio test. I see that there is a routine implementing a LR ratio test for omitted variables ...