I want to estimate a simple regime switching model in an arma model with one regime change and I dont know how to include interactions with MA-terms. So basically I am trying to estimate the model
y_t = alpha + beta_1 * y_{t-1} + (beta_2 - beta_1) * d * y_{t-1} + theta_0 * epsilon_t + (theta_1 - theta_0) * d * epsilon_t + error
where y is the dependent variable, alpha the intercept, beta_1 the coefficient for the ar terms before the regime change, beta_2 the coefficients after the regime change and theta are the respective coefficients for the ma terms.
My question is: how can I include a dummy term to interact with the ma terms?
I need a replacement for ma(1)*dummy in an equation like this:
Code: Select all
ls y c y(-1) y(-1)*dummy ma(1) dummy*ma(1)