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- Fri Jun 28, 2013 10:12 am
- Forum: Programming
- Topic: interaction terms in arma model
- Replies: 0
- Views: 1370
interaction terms in arma model
Hello, I want to estimate a simple regime switching model in an arma model with one regime change and I dont know how to include interactions with MA-terms. So basically I am trying to estimate the model y_t = alpha + beta_1 * y_{t-1} + (beta_2 - beta_1) * d * y_{t-1} + theta_0 * epsilon_t + (theta_...