how to forecast with markov regime switch model?
Posted: 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
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