Markov switch regression Forecast

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Nicotrader87
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Joined: Sun Jul 28, 2019 2:26 pm

Markov switch regression Forecast

Postby Nicotrader87 » Wed Mar 04, 2020 9:58 am

Hi everyone I have a problem in interpreting the output of a markov switch model with Eviews.

When we estimate such a model we get two outputs, one is the fitted series and one is the probability states.
Suppose we have a sample 1-20000 values, if I estimate a model in sample I get probabilities (2 state) and if I go to get the forecast (static) of the whole sample (1-20000), I get a fitted series.

Now my doubts are:
Do I use the probability or the Fit to determine the model's performance?
Also, why do the probability and the fit differ from each other?

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