Structural Breaks and Switching Models
Discussion of models with structural breaks or endogenous switching.
95 topics • Page 2 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
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Wed Mar 27, 2013 12:39 pm
- RATS 8.2: Free Trial Version
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- Andrews-Quandt Test
by AhmedSahlool » Mon May 14, 2012 5:39 am - 1 Replies
- 290 Views
- Last post by TomDoan
Mon May 14, 2012 12:38 pm
- Andrews-Quandt Test
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- Dummy variables and structural breaks
by AhmedSahlool » Fri May 11, 2012 4:00 am - 0 Replies
- 284 Views
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Fri May 11, 2012 4:00 am
- Dummy variables and structural breaks
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- BAI & PERRON RESULTS
by AhmedSahlool » Sat May 05, 2012 1:16 pm - 2 Replies
- 388 Views
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Wed May 09, 2012 5:20 pm
- BAI & PERRON RESULTS
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- Cai SWARCH model
by PeterF » Sun Apr 15, 2012 5:33 pm - 2 Replies
- 374 Views
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Mon Apr 16, 2012 1:11 pm
- Cai SWARCH model
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- Asymmetric Dynamic Multipliers
by Gilbril » Fri Mar 09, 2012 2:22 pm
- 4 Replies
- 597 Views
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Sun Apr 15, 2012 11:54 am
- Asymmetric Dynamic Multipliers
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- LSTR with exogenous variables
by Ana_Rita » Fri Apr 06, 2012 12:16 pm
- 14 Replies
- 974 Views
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Fri Apr 13, 2012 7:53 am
- LSTR with exogenous variables
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- Bai-Perron JAE 2003 Replication Files
1, 2 by TomDoan » Wed Dec 09, 2009 12:27 pm
- 17 Replies
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- Last post by irfansystem
Thu Apr 12, 2012 5:28 pm
- Bai-Perron JAE 2003 Replication Files
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- The choice of threshold
by guo » Mon Apr 09, 2012 10:02 pm - 2 Replies
- 357 Views
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Tue Apr 10, 2012 10:25 pm
- The choice of threshold
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- 3-state Dueker(1997) MS-GARCH
by nikosant » Thu Apr 05, 2012 4:30 am - 4 Replies
- 503 Views
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Sat Apr 07, 2012 10:38 am
- 3-state Dueker(1997) MS-GARCH
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- how to explain the theta of SWARCH.rpf
by hardmann » Thu Feb 09, 2012 4:27 am
- 14 Replies
- 943 Views
- Last post by TomDoan
Mon Apr 02, 2012 9:53 am
- how to explain the theta of SWARCH.rpf
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- Krolzig MSVAR Examples
by TomDoan » Wed Mar 07, 2012 2:02 pm
- 2 Replies
- 496 Views
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Mon Mar 12, 2012 10:00 am
- Krolzig MSVAR Examples
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- MS-VAR with time varying probabilities
by Aktar » Tue Mar 06, 2012 6:19 am - 3 Replies
- 486 Views
- Last post by TomDoan
Sun Mar 11, 2012 7:43 pm
- MS-VAR with time varying probabilities
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- Problem with the estimation of MSVAR examples
by condor » Fri Jan 13, 2012 6:17 am - 8 Replies
- 797 Views
- Last post by TomDoan
Wed Mar 07, 2012 2:03 pm
- Problem with the estimation of MSVAR examples
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- Error MultipleBreaks procedure
by Javi » Fri Feb 17, 2012 5:48 pm - 1 Replies
- 266 Views
- Last post by TomDoan
Sun Feb 19, 2012 12:43 pm
- Error MultipleBreaks procedure
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- How to specify SWARCH
by hardmann » Sun Feb 12, 2012 11:14 am - 1 Replies
- 237 Views
- Last post by TomDoan
Thu Feb 16, 2012 12:25 pm
- How to specify SWARCH
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- Imposing MS-Regime-probabilities estimates on other series
by Matt » Thu Feb 09, 2012 1:02 pm - 2 Replies
- 334 Views
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Fri Feb 10, 2012 9:35 am
- Imposing MS-Regime-probabilities estimates on other series
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- TAR/STAR Example
by TomDoan » Tue Jun 29, 2010 10:31 am
- 6 Replies
- 1462 Views
- Last post by TomDoan
Fri Feb 03, 2012 11:05 am
- TAR/STAR Example
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- question about switching on @msvarsetup
by hardmann » Sun Jan 29, 2012 5:02 am - 1 Replies
- 249 Views
- Last post by TomDoan
Mon Jan 30, 2012 11:27 am
- question about switching on @msvarsetup
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- swarch.rpf shows an error wihle runing
by hardmann » Sat Jan 28, 2012 10:54 pm - 1 Replies
- 139 Views
- Last post by TomDoan
Mon Jan 30, 2012 11:25 am
- swarch.rpf shows an error wihle runing
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- Generalized Impulse Responses
by nazif » Thu Jan 12, 2012 8:37 am
- 14 Replies
- 100 Views
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Fri Jan 20, 2012 5:14 am
- Generalized Impulse Responses
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- Gray's 1996 Regime Switching GARCH
by sana » Mon Oct 03, 2011 8:54 am - 8 Replies
- 892 Views
- Last post by TomDoan
Wed Dec 14, 2011 11:58 am
- Gray's 1996 Regime Switching GARCH
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- Lee-Strazicich test critical values for three breaks
by alvarezcc » Wed Nov 23, 2011 10:33 am - 1 Replies
- 321 Views
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Wed Nov 23, 2011 11:45 am
- Lee-Strazicich test critical values for three breaks
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- Bai perron residuals
by chiade » Mon Nov 21, 2011 8:23 am - 2 Replies
- 240 Views
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Tue Nov 22, 2011 7:44 am
- Bai perron residuals
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- bai perron - differing results
by chiade » Tue Nov 15, 2011 8:29 am - 3 Replies
- 340 Views
- Last post by TomDoan
Wed Nov 16, 2011 1:52 pm
- bai perron - differing results
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- Different cointegration vector under different regimes
by nacrointfin » Mon Oct 31, 2011 3:48 am - 3 Replies
- 422 Views
- Last post by TomDoan
Fri Nov 04, 2011 11:17 am
- Different cointegration vector under different regimes
95 topics • Page 2 of 4
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