interpretation markov regime switching. Urgent HELP!!!
Posted: Sun Aug 30, 2015 5:21 am
Dear Eviews Glenn,
I am working on a TVP- markov Regime switching for crude oil futures basis and I am interested to know if inventories can explain the regime switches from backwardation to contango and vice-versa. The estimated parameter results regarding the transition matrix parameters,( I mean P11-C, P11-CHLOGINV, P21-C, P21-CHLOGINV) are only specified for the slope coefficient related to the switch from regime 1 to regime 2 (P21-CHLOGINV). However, I want to know the slope coefficient for switch from regime 2 to 1 and its significance as well. I have searched the forum and I know about the logit relationship between the probabilities and the estimated parameters, but, what is my problem is the magnitude for P12-CHLOGINV and it's significance based on related statistics.
I am really wondering if there is a method in eviews to calculate the mentioned coefficients or not?
Kind Regards,
I am working on a TVP- markov Regime switching for crude oil futures basis and I am interested to know if inventories can explain the regime switches from backwardation to contango and vice-versa. The estimated parameter results regarding the transition matrix parameters,( I mean P11-C, P11-CHLOGINV, P21-C, P21-CHLOGINV) are only specified for the slope coefficient related to the switch from regime 1 to regime 2 (P21-CHLOGINV). However, I want to know the slope coefficient for switch from regime 2 to 1 and its significance as well. I have searched the forum and I know about the logit relationship between the probabilities and the estimated parameters, but, what is my problem is the magnitude for P12-CHLOGINV and it's significance based on related statistics.
I am really wondering if there is a method in eviews to calculate the mentioned coefficients or not?
Kind Regards,