I would like to estimate a Markov regime switching ARMA(3,2) model. Is this the right code;
equation eqf.switchreg(type=markov) y c y(-1) y(-2) y(-3) ar(1) ar(2)
Thanks.
Regime swithcing ARMA estimation
Moderators: EViews Gareth, EViews Moderator
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EViews Gareth
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Re: Regime swithcing ARMA estimation
EViews doesn't allow MA terms in Markov switching estimation.
Re: Regime swithcing ARMA estimation
So y(-1) and ar(1) are exactly the same as in standard ols estimation with eviews?
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EViews Gareth
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