how to forecast with markov regime switch model?

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tanghanpost
Posts: 27
Joined: Tue Dec 30, 2008 6:39 am

how to forecast with markov regime switch model?

Postby tanghanpost » Tue Jul 15, 2014 1:43 am

Hi,
I am using the data which provided by eviews 8-GNP_hamilton,i create a markov regime switch model, I changed the eqation by dynamic: g c g(-1), the non-switching regressors still are-ar(1) ar(2) ar(3) ar(4), and i chosed the "regime specific error variances", after the estimation, I want to forecast the dependent variable-g, but forecast has teld me that " the SIGMA is not defined". I don't know what wrong with the equation?
Another,
I fined that the forecast dialog is-"SIGMAf" not the variable i want-the dependent variable "gf", then how to use the markov switch model to forecast the dependent variable?
Thank you for spending time to answer me.
Tanghan
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gnp_hamilton.wf1
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EViews Glenn
EViews Developer
Posts: 2682
Joined: Wed Oct 15, 2008 9:17 am

Re: how to forecast with markov regime switch model?

Postby EViews Glenn » Tue Jul 15, 2014 2:52 am

What's the date on your copy of EViews?

tanghanpost
Posts: 27
Joined: Tue Dec 30, 2008 6:39 am

Re: how to forecast with markov regime switch model?

Postby tanghanpost » Tue Jul 15, 2014 6:54 am

Sorry, I don't know the date,
But does it important to the model?
may i change the date, can solve this?

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

Re: how to forecast with markov regime switch model?

Postby EViews Glenn » Thu Jul 17, 2014 6:33 am

Select Help/About EViews from your main menu. I believe that this is related to a bug that was fixed some time ago, and wanted to double check that your copy was prior to the fix. Alternately, use Help/Update to update your copy of EViews to the latest shipping version.

tanghanpost
Posts: 27
Joined: Tue Dec 30, 2008 6:39 am

Re: how to forecast with markov regime switch model?

Postby tanghanpost » Fri Jul 18, 2014 6:22 pm

Thanks for your help.
Do you mean the date of Eviews 8 is -Standard Edition - Jul 2 2014 build?
I had update Eviews to the latest, but the problem still .

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

Re: how to forecast with markov regime switch model?

Postby EViews Glenn » Sat Jul 19, 2014 8:17 am

Okay, I'll take a look. I just thought of one thing. Can you please reestimate your equation by clicking on the estimate button and then try again? Thanks.


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