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Markov Regime Switching & Smooth Transition Regression
Posted: Wed Dec 04, 2013 4:09 pm
by Concordia
Hi,
I have two questions: (1) one related to Markov Switching Regression and (2) one related to Smooth Transition Regression.
(1) I would like to know if it is possible to get the mean of the dependent variable for each regime when using the Markov's switching regression model.
In the results I only get the overall mean.
(2) Can we perform Smooth Transition Regression in EViews?
Thank you very much
Re: Markov Regime Switching & Smooth Transition Regression
Posted: Wed Dec 04, 2013 4:15 pm
by EViews Glenn
I'm not certain what you mean by the "mean of the independent variable in each regime". All that you get for each regime is a probability that you are in that regime in a given period. There is no certainty to the regime identity.
As to STAR, it is not built-in. I don't believe that anyone has an example, though there is one for TAR models
http://forums.eviews.com/viewtopic.php? ... old#p26248
Re: Markov Regime Switching & Smooth Transition Regression
Posted: Thu Dec 05, 2013 2:01 am
by trubador
Actually, the example is for Logistic STAR model, which uses the logistic function for smooth transition. Other forms can easily be formulated.
As for the Markov switching, I think what you are asking is the following:
Code: Select all
'get the regime probabilities
my_eq.makergmprobs rp1 rp2
'assign to the regimes with relatively higher probability
series r1 = (rp1>=.5)
series r2 = (rp2>=.5)
'compute the number of periods in each regime
scalar nr1= @sum(r1)
scalar nr2 = @sum(r2)
'split the dependent variable with respect to the regimes
r1 = r1*y
r2 = r2*y
'compute mean value for each regime
scalar mr1 = @sum(r1)/nr1
scalar mr2 = @sum(r2)/nr2
But, as Glenn pointed out, there is no certainty to the regime identity.
Re: Markov Regime Switching & Smooth Transition Regression
Posted: Thu Dec 05, 2013 1:51 pm
by EViews Glenn
That's what I get for just glancing at the routine. I stand corrected. And thanks for the contribution, trubador.
Re: Markov Regime Switching & Smooth Transition Regression
Posted: Tue Dec 10, 2013 2:56 pm
by Concordia
Thanks a lot Glenn and Trubador for your prompt responses.