Structural Breaks and Switching Models
Discussion of models with structural breaks or endogenous switching.
95 topics • Page 1 of 4 • 1, 2, 3, 4
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- RATS 8.2: Free Trial Version
by moderator » Tue Sep 25, 2012 5:10 pm - 0 Replies
- 2374 Views
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Wed Mar 27, 2013 12:39 pm
- RATS 8.2: Free Trial Version
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- Filardo JBES 1994 Time-Varying MS Model
1, 2
by TomDoan » Wed Dec 30, 2009 4:57 pm
- 25 Replies
- 2892 Views
- Last post by FaeK
Tue May 14, 2013 7:17 pm
- Filardo JBES 1994 Time-Varying MS Model
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- Dueker (1997) output with fixed mean
by zy761 » Thu Apr 04, 2013 1:49 am
- 5 Replies
- 121 Views
- Last post by TomDoan
Thu Apr 18, 2013 9:18 am
- Dueker (1997) output with fixed mean
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- Markov Switching VECM
by nacrointfin » Fri Apr 05, 2013 2:52 am
- 3 Replies
- 136 Views
- Last post by TomDoan
Tue Apr 09, 2013 8:18 pm
- Markov Switching VECM
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- Sampling variances in MSVAR
by chauhal » Wed Apr 03, 2013 1:46 pm
- 1 Replies
- 50 Views
- Last post by TomDoan
Wed Apr 03, 2013 3:49 pm
- Sampling variances in MSVAR
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- Segment data to two different state
by Yangyang » Wed Mar 13, 2013 3:11 pm - 13 Replies
- 215 Views
- Last post by Yangyang
Fri Mar 22, 2013 7:29 am
- Segment data to two different state
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- Hamilton Regime Switching Example
by timduy » Sat Mar 16, 2013 8:34 pm - 1 Replies
- 73 Views
- Last post by TomDoan
Mon Mar 18, 2013 11:15 am
- Hamilton Regime Switching Example
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- Tsay(1998) TVAR Model
by Trankied » Tue Mar 12, 2013 3:10 am - 11 Replies
- 216 Views
- Last post by TomDoan
Mon Mar 18, 2013 11:09 am
- Tsay(1998) TVAR Model
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- Problem with MSVAR estimation
by chauhal » Sun Mar 03, 2013 11:35 am
- 9 Replies
- 238 Views
- Last post by chauhal
Mon Mar 11, 2013 8:09 am
- Problem with MSVAR estimation
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- Regime-Dependent IRFs
by chauhal » Tue Mar 05, 2013 3:49 pm - 2 Replies
- 96 Views
- Last post by chauhal
Fri Mar 08, 2013 7:58 am
- Regime-Dependent IRFs
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- Need help with Generating error bands for threshold VAR
by f91yy » Thu Feb 28, 2013 10:08 pm
- 2 Replies
- 95 Views
- Last post by f91yy
Mon Mar 04, 2013 10:07 pm
- Need help with Generating error bands for threshold VAR
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- Markov Switching ARCH on the mean equation
by Ratskdup » Mon Jan 14, 2013 2:51 am - 1 Replies
- 256 Views
- Last post by TomDoan
Sun Jan 20, 2013 10:15 pm
- Markov Switching ARCH on the mean equation
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- Retrieving PT_T from MSVARSETUP procedure
by OSUPolisci » Fri Aug 10, 2012 3:12 pm
- 4 Replies
- 453 Views
- Last post by janas
Thu Jan 03, 2013 2:49 pm
- Retrieving PT_T from MSVARSETUP procedure
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- Dueker (1997) + TVTP
by g_defi » Mon Dec 10, 2012 4:30 am - 0 Replies
- 212 Views
- Last post by g_defi
Mon Dec 10, 2012 4:30 am
- Dueker (1997) + TVTP
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- three state variance regime switching model
1, 2 by superper2008 » Wed Oct 17, 2012 2:57 pm
- 19 Replies
- 1066 Views
- Last post by TomDoan
Sat Dec 01, 2012 9:22 am
- three state variance regime switching model
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- IRF for STAR models
by Javi » Mon Jun 15, 2009 10:28 am - 11 Replies
- 3043 Views
- Last post by TomDoan
Mon Oct 29, 2012 1:09 pm
- IRF for STAR models
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- Dueker (1997) output
by DanielKing » Tue Oct 02, 2012 9:27 am - 4 Replies
- 352 Views
- Last post by TomDoan
Tue Oct 02, 2012 11:20 am
- Dueker (1997) output
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- ESTAR Result Analysis
by guo » Sat Aug 11, 2012 4:08 am
- 10 Replies
- 798 Views
- Last post by TomDoan
Fri Sep 28, 2012 11:51 am
- ESTAR Result Analysis
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- Estimate the TVTP-MS model with MSRegression
by samson » Mon Jul 30, 2012 9:29 pm - 3 Replies
- 661 Views
- Last post by samson
Sun Aug 05, 2012 7:35 pm
- Estimate the TVTP-MS model with MSRegression
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- LM test for ESTAR/LSTAR effects
by guo » Sun Aug 05, 2012 7:13 am - 1 Replies
- 265 Views
- Last post by TomDoan
Sun Aug 05, 2012 8:44 am
- LM test for ESTAR/LSTAR effects
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- Multivariate MS GARCH
by DanielKing » Fri Jun 22, 2012 10:13 am - 10 Replies
- 972 Views
- Last post by TomDoan
Thu Jul 19, 2012 9:52 am
- Multivariate MS GARCH
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- Conditional variance of SWARCH models
by zy761 » Thu Jul 05, 2012 6:12 am
- 1 Replies
- 300 Views
- Last post by TomDoan
Thu Jul 05, 2012 11:15 am
- Conditional variance of SWARCH models
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- MSSysRegression
by samson » Sun May 27, 2012 9:33 am - 5 Replies
- 605 Views
- Last post by samson
Sun Jul 01, 2012 8:00 pm
- MSSysRegression
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- NonLinear Granger Causality Test
by Tony » Tue Mar 06, 2012 12:02 am - 1 Replies
- 665 Views
- Last post by TomDoan
Thu May 31, 2012 2:55 pm
- NonLinear Granger Causality Test
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- TVTP Markov Regime switching model
1, 2, 3 by superper2008 » Tue Mar 27, 2012 4:10 pm
- 36 Replies
- 2657 Views
- Last post by superper2008
Tue May 29, 2012 9:25 am
- TVTP Markov Regime switching model
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- BaiPerron for VAR
by OSUPolisci » Thu May 17, 2012 5:13 pm - 0 Replies
- 326 Views
- Last post by OSUPolisci
Thu May 17, 2012 5:13 pm
- BaiPerron for VAR
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