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Dear all,

I have a very urgent request of help!
I am running switching regressions (switchreg (type=markov, k=2)) on different series. I need to save the ergodic probabilities from each model so that, I can export those ergotic probabilities in excel.
How should I compute it in eviews? Is there a command in eviews?

thanks a lot in advance for your help

Just to give more details:
if there is no quick command to get the ergodic probability of such MS,2-state regression, how can I compute them?
The ergodic probabilitiy vector should be the eigenvector of the transition probability matrix of the markov chain associated with the unit eigenvalue.
Can I compute that in eviews with a matrix of transition probability P which is NOT symmetric?

Thanks a lot

There isn't anything built-in.

You'll have to grab the transition probability matrix and do the computation yourself. Unfortunately, EViews doesn't let you compute eigenvalue decompositions of non-symmetric matrices. Fortunately, for a two-state model, the computation looks to be pretty easy to do by hand.

Hi Glenn,

thank you so much for your answer!
Yes, fortunately now I can compute the ergodic using the transition probabilities, but I wanted then to test the model with more states, i.e. k>3 (bear, bull and steady state) and I guess it will be hard to do in eviews!

Thanks a lot for your help!

Even for 3-states it doesn't look particularly difficult.