EViews.com

Hello everyone,

I need help estimating markov switch models. In particular I cannot understand how I can carry out forecast checks for probability states.

can you help me?
 

can anyone help me?

I'm afraid that I don't understand the question.

Simply
I need to forecast a state probability but the software it allow the forecast of only fitting series.

I'm sorry, but that is correct.

sorry but I do not understand.
The markov model is born to return the probabilities of state, right?
so how can I carry out goodness tests of the probabilities without being able to carry out forecasts in sample and out of sample?

EViews produces several different measures of within-sample probabilities. Try Proc Make Regime Probabilities

I don't believe EViews does out-of-sample probability forecasts, but I don't think it should be hard to do.

sure, in fact I can extract the probabilities but how can I test the probabilities if in the "forecast" function I can only get the series fitted?

how do I test insample and outofsample without the forecast function?

sure, in fact I can extract the probabilities but how can I test the probabilities if in the "forecast" function I can only get the series fitted?

how do I test insample and outofsample without the forecast function?

Well, the extracted probabilities are in-sample forecasts.

If you want to forecast out of sample, I believe you just take the final state probabilities and run them out in a GENR statement multiplying by the estimated transition probabilities.

sure, in fact I can extract the probabilities but how can I test the probabilities if in the "forecast" function I can only get the series fitted?

how do I test insample and outofsample without the forecast function?

Well, the extracted probabilities are in-sample forecasts.

If you want to forecast out of sample, I believe you just take the final state probabilities and run them out in a GENR statement multiplying by the estimated transition probabilities.

please for me it is very important can you make this process clearer?
maybe with a screenshot?

Have you tried Proc Make Regime Probabilities?

Have you tried Proc Make Regime Probabilities?

obvious but how to make the forecast? with make probabilities get only the estimate in samples.

If the last in sample probability is last_prob and the transition probabilities are p11 and p01, then I think you want something like

prob(T+1) = last_prob*p11 + (1-last_prob)*p01
prob(T+2) = prob(T+1)*p11 + (1-prob(T+1))*p01

etc

Please i need the help with command line





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