Independently switching regressors - markov switching

[hakeru7]

Hello,

I'm wondering if EViews supports independently switching regressors in a markov switching estimation.

For example, I have the constant, AR(-1) regressor and variance to each have two regimes (high, low) and want to switch on the possible combinations of these. So I'd have 8 regimes where i'll only have 6 unique coefficients after estimation.

I hope that made sense.

Also, I'm using EViews 8.1 - Apr 27 2015 build.

Thanks!

[EViews Glenn]

So you want to have a regime where the constant is high, the AR(-1) is low and the variance is high, with the coefficients restricted across high and low states?

If that's the case, then I'm afraid that it's not possible as you can't enforce the restriction on the coefficient values across states that would be required.

[hakeru7]

Thank you for the reply. I think you understood me correctly, but just to elaborate, 8 regimes with each looking like (high constant, high AR(-1), high variance) and (H,H,L), (H,L,H) etc.

I would envision that the 8 regimes would be restricted to pdfs which are function of 6 coefficients and the likelihood is maximized w.r.t. the transition parameters and the 6 coefficients (high constant, low constant, high AR(-1) etc.)

[EViews Glenn]

Got it.

Unfortunately, it's not a model that EViews will be able to estimate using the built-in tools.

[hakeru7]

Thank you for your quick replies. Much appreciated!