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IRFs with MS-VAR
Posted: Wed Feb 07, 2024 12:12 pm
by CNR15
Hi - I am estimating a two state Markov Switching VAR. Is it possible to compare IRF in State 1 versus State 2 as I am only seeing one set or response when graphed.
Thanks,
CNR
Re: IRFs with MS-VAR
Posted: Wed Feb 07, 2024 12:54 pm
by EViews Glenn
Are your lag coefficients regime-specific? If they are not, then the impulse-responses are not regime-specific. If they are, then you will see a spool with the IRs for each regime.
Re: IRFs with MS-VAR
Posted: Thu Feb 08, 2024 4:13 am
by CNR15
Ah, I see. I had forgotten to tick the 'lagged endogenous' box. I am now seeing the two impulses.
Thanks for that Glenn!