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- Mon Feb 16, 2015 11:21 am
- Forum: Estimation
- Topic: Markov switching: test linear restrictions across regimes
- Replies: 1
- Views: 3082
Markov switching: test linear restrictions across regimes
Dear all, I have just estimated an AR markov-switching model. I get two coefficients for my regime-dependent variable of interest (regressor) which is a dummy. I would like to test whether such coefficients are equal across the two regimes instructed: C(2)*ID_AUCB1=C(4)*ID_AUCB1, where c(2) is in th...