IRFs with MS-VAR

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

CNR15
Posts: 26
Joined: Thu Sep 16, 2021 7:06 am

IRFs with MS-VAR

Postby CNR15 » Wed Feb 07, 2024 12:12 pm

Hi - I am estimating a two state Markov Switching VAR. Is it possible to compare IRF in State 1 versus State 2 as I am only seeing one set or response when graphed.

Thanks,

CNR

EViews Glenn
EViews Developer
Posts: 2671
Joined: Wed Oct 15, 2008 9:17 am

Re: IRFs with MS-VAR

Postby EViews Glenn » Wed Feb 07, 2024 12:54 pm

Are your lag coefficients regime-specific? If they are not, then the impulse-responses are not regime-specific. If they are, then you will see a spool with the IRs for each regime.

CNR15
Posts: 26
Joined: Thu Sep 16, 2021 7:06 am

Re: IRFs with MS-VAR

Postby CNR15 » Thu Feb 08, 2024 4:13 am

Ah, I see. I had forgotten to tick the 'lagged endogenous' box. I am now seeing the two impulses.

Thanks for that Glenn!


Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 4 guests