how to forecast on markov regime switch?
Posted: Sun Jul 13, 2014 7:09 am
Hi,
Very thanks for help.
I'am using month data of 2000m01 to 2014m01, and has built equation using markov regime swithc model, which has dynamic y(t) on c and y(t-1), and has chosed "regime specific error variances", after the estimation, when forecast, eviews 8 always alarm me that "SIGMA is not defined-", I want to know what wrong with the model? and how to forecast on Markov model?
Very thanks.
Tanghan
Very thanks for help.
I'am using month data of 2000m01 to 2014m01, and has built equation using markov regime swithc model, which has dynamic y(t) on c and y(t-1), and has chosed "regime specific error variances", after the estimation, when forecast, eviews 8 always alarm me that "SIGMA is not defined-", I want to know what wrong with the model? and how to forecast on Markov model?
Very thanks.
Tanghan