Forecast Markov Switching

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

Aktar
Posts: 74
Joined: Thu May 21, 2009 5:08 am

Forecast Markov Switching

Postby Aktar » Tue Feb 15, 2022 1:33 am

Dear all,

I would like to make forecasting estimates (in-sample and out-of-sample) from markov-switching estimates (fixed and time varying probabilities).

I would like to understand what eviews can do. It seems we can only forecast the regime probabilities (in sample) without s.e. Moreover, the forecasted probabilities are not bounded between 0-1.

Thank you very much.

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

Re: Forecast Markov Switching

Postby EViews Glenn » Tue Feb 15, 2022 9:52 am

EViews computes in-sample one-step ahead, filtered, and smoothed probabilities values.

EViews doesn't compute the one-step ahead out of-sample forecasts of the probabilities since the one-step ahead predicted is really only defined for the first period post-forecast as there is no out-of-sample filtering step. Now one can compute a dynamic n-step ahead predicted probability, in which the filtering step is by-passed out-of-sample. EViews doesn't provide these probabilities to the user right now, but I am not sure if this is what you want. Note also that these for time-varying probability models, the probability regressors would have to be available for the forecast-sample.

For many cases, these dynamic n-step ahead predicted probabilities can be generated from existing results using simple commands.

Note that all of the computed in-sample probabilities should lie between 0 and 1. If they don't in a particular case, I'd be interested in seeing the example. Standard errors are currently not computed. They are quite difficult for these models and would almost certainly be computed using re-sampling techniques, but this is not something we have implemented at this time.

Aktar
Posts: 74
Joined: Thu May 21, 2009 5:08 am

Re: Forecast Markov Switching

Postby Aktar » Thu May 26, 2022 11:37 pm

Thank you very much for your response.

The probabilities don't lie between 0 and 1.

Is there a way to rescale the proba ? I will need them to compute the forecasted value of the dependent variable.

I have sent you my workfile.

Thank you very much
Last edited by Aktar on Fri May 27, 2022 3:46 am, edited 2 times in total.

Aktar
Posts: 74
Joined: Thu May 21, 2009 5:08 am

Re: Forecast Markov Switching

Postby Aktar » Fri May 27, 2022 1:11 am

Finally, I guess I can use the standard command from the equation object as "view" and then "regime results" ; "regime probabilities" to get the one step head predicted probabilities because there are the same as with the forecast command but with the good scale this time.

However, there is a mistake when computing the errors from MS objects. Seems that the software makes the difference between the actual y value and the predicted probabilities (the one with the wrong scale).

Could you let me know ?

Thanks

EDIT: the probabilities are finally used as weights and the predicted value of y is easily found. This matches well with the residuals given by eviews

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

Re: Forecast Markov Switching

Postby EViews Glenn » Fri May 27, 2022 5:39 am

Where is the workfile?


Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 31 guests