interpretation markov regime switching. Urgent HELP!!!

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za gh
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Joined: Sat Apr 25, 2015 7:42 am

interpretation markov regime switching. Urgent HELP!!!

Postby za gh » Sun Aug 30, 2015 5:21 am

Dear Eviews Glenn,

I am working on a TVP- markov Regime switching for crude oil futures basis and I am interested to know if inventories can explain the regime switches from backwardation to contango and vice-versa. The estimated parameter results regarding the transition matrix parameters,( I mean P11-C, P11-CHLOGINV, P21-C, P21-CHLOGINV) are only specified for the slope coefficient related to the switch from regime 1 to regime 2 (P21-CHLOGINV). However, I want to know the slope coefficient for switch from regime 2 to 1 and its significance as well. I have searched the forum and I know about the logit relationship between the probabilities and the estimated parameters, but, what is my problem is the magnitude for P12-CHLOGINV and it's significance based on related statistics.
I am really wondering if there is a method in eviews to calculate the mentioned coefficients or not?

Kind Regards,

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