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- Mon Mar 16, 2015 11:20 am
- Forum: Estimation
- Topic: Likelihood ratio tests and Markov Switching models
- Replies: 9
- Views: 11583
Re: Likelihood ratio tests and Markov Switching models
I searched methodology and smiler subject for example Hamilton and Engel. And according to them I can use Markov switching model in interest rate. And I decided my data that is monthly interest rate for 25 years for 2 countries. I decided models and my first model is ar(1) ar(2) ar(3) ar(4) and my s...