Search found 2 matches
- Sun Jul 02, 2017 10:32 pm
- Forum: Estimation
- Topic: How retrieve AR coeffecients in Markov model (MSIAH)
- Replies: 3
- Views: 4813
Re: How retrieve AR coeffecients in Markov model (MSIAH)
Hello Glenn, Yes, I have. I am a noob and thus I'm not sure the extent to which my estimation is accurate. I am following a study that is very much similar to https://doi.org/10.1016/j.pacfin.2013.12.003 and is required to conduct a univariate and multivariate Markov regime switching estimations. I ...
- Thu Jun 29, 2017 12:13 pm
- Forum: Estimation
- Topic: How retrieve AR coeffecients in Markov model (MSIAH)
- Replies: 3
- Views: 4813
How retrieve AR coeffecients in Markov model (MSIAH)
How to retrieve regime specific AR coefficients while estimating a univariate Markov regime switching model? please refers to Table I. Univariate regime switching models for stock and bond returns of An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and BondReturns by Mas...