Ask for help! Eviews 8 markov-switching AR model

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

bambilull
Posts: 1
Joined: Tue Mar 25, 2014 6:31 pm

Ask for help! Eviews 8 markov-switching AR model

Postby bambilull » Tue Mar 25, 2014 10:23 pm

I try to use the new function of Eviews 8 to fit one Markov-switching AR(2) model which has two state. In my model, "dr" is the dependent variable, and I input "dr c dr(-1) dr(-2) " in the equation specification and choose the Markov in the switching specification. But I am not sure what I input is correct. Can anbody help me? THX!
Moreover, what if I just want to fit one two-state MS-AR model, one state is AR(1) and the other is AR(2), what should I input in the equation specification when I choose switching method? Because I didn't find the similar example and I can't use the expression form in the equation specification section, could you please give me some suggestions?
Thank you so so so much!!

EViews Glenn
EViews Developer
Posts: 2682
Joined: Wed Oct 15, 2008 9:17 am

Re: Ask for help! Eviews 8 markov-switching AR model

Postby EViews Glenn » Wed Mar 26, 2014 9:46 am

1. Have you looked at the EViews documentation? We do a pretty thorough job of walking you through a similar model. For your AR specification, there is an issue about how you want the dynamics to be handled that you'll have to address.
2. It is not possible to estimate with a restricted specification in one of the regimes.


Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 2 guests