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!!
Ask for help! Eviews 8 markov-switching AR model
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Re: Ask for help! Eviews 8 markov-switching AR model
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.
2. It is not possible to estimate with a restricted specification in one of the regimes.
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