regime switching models
Posted: Tue Jun 16, 2015 1:01 am
Hi everyone
I am really new to regime switching model, and I am trying to estimate a three state regime switching model by using eviews.
And I have read the menu multiple times. But, I have a very,very basic question.
When we estimate a three regime model using eviews, how can we know which regime is a high or low or medium regime from the output? For instance, on the User Guide for eviews 8 page 418, it reports results for three different regimes, namely low,high and medium volatility regimes. But the output reports regime 1,2 and 3. My question is how can we be sure that which reported regime(i.e. 1,2,3) is a high or low volatility regime?
Is there a way to check the summary statistics for each regime (e.g. the volatility mean) or eviews has a fixed order to report this?
Many thanks in advance.
Jerry
I am really new to regime switching model, and I am trying to estimate a three state regime switching model by using eviews.
And I have read the menu multiple times. But, I have a very,very basic question.
When we estimate a three regime model using eviews, how can we know which regime is a high or low or medium regime from the output? For instance, on the User Guide for eviews 8 page 418, it reports results for three different regimes, namely low,high and medium volatility regimes. But the output reports regime 1,2 and 3. My question is how can we be sure that which reported regime(i.e. 1,2,3) is a high or low volatility regime?
Is there a way to check the summary statistics for each regime (e.g. the volatility mean) or eviews has a fixed order to report this?
Many thanks in advance.
Jerry