Bivariate Markov Switching Model

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alexei
Posts: 3
Joined: Thu Sep 09, 2021 3:07 am

Bivariate Markov Switching Model

Postby alexei » Fri Sep 10, 2021 2:56 am

Hello,

I am having trouble with an apparently simple task: how do you estimate a bivariate markov switching model in EViews? I tried with switchvar but it does not seem possible to estimate a specification without lags.

The model I have in mind: vector of two observations distributed as a bivariate normal with all parameters dependent on latent state; two possible latent states, state process distributed as a markov chain.
For now I've been able to estimate a specification with one lag using

Code: Select all

var msm_bivariate.switchvar(type=markov, heterr) 1 1 y1 y2


Where y1 and y2 are my dependent variables
Would it be possible to estimate the same specification but without lags? Or to restrict the lag coefficients to be zero?
Thanks

EViews Glenn
EViews Developer
Posts: 2670
Joined: Wed Oct 15, 2008 9:17 am

Re: Bivariate Markov Switching Model

Postby EViews Glenn » Fri Sep 10, 2021 9:52 am

There is an internal explicit error check which is being triggered which may not be necessary. I am investigating whether this may safely be modified.

[edit: to temper expectations, this may take a bit of time...]

alexei
Posts: 3
Joined: Thu Sep 09, 2021 3:07 am

Re: Bivariate Markov Switching Model

Postby alexei » Sun Sep 12, 2021 2:54 am

Thanks Glenn! Let us know :)

alexei
Posts: 3
Joined: Thu Sep 09, 2021 3:07 am

Re: Bivariate Markov Switching Model

Postby alexei » Sun Sep 12, 2021 3:14 am

Sorry, just to be sure, is there any other straightforward way to estimate the model I described?


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