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?