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Thanks.

Also, I don't think I found a description of what algorithm the estimation uses in numerically maximizing the likelihood. Could you hint?

Hello, I understand that the initial coefficients in a markov switching estimation is created by doing a simple ols and adding random normals around the coefficients using their respective s.d. I'm wondering how the initial regime specific error variances are set and how the initial probability para...

Thank you for your quick replies. Much appreciated!

Thank you for the reply. I think you understood me correctly, but just to elaborate, 8 regimes with each looking like (high constant, high AR(-1), high variance) and (H,H,L), (H,L,H) etc. I would envision that the 8 regimes would be restricted to pdfs which are function of 6 coefficients and the lik...

Hello, I'm wondering if EViews supports independently switching regressors in a markov switching estimation. For example, I have the constant, AR(-1) regressor and variance to each have two regimes (high, low) and want to switch on the possible combinations of these. So I'd have 8 regimes where i'll...