Problem with the estimation of MSVAR examples

[condor]

When I try to run the MSVAR example files of Krolzig (1997) without changing anything, I receive the following error message:

"SX11. Identifier EMPTSM is Not Recognizable. Incorrect Option Field or Parameter Order?
>>>>VARMarginal(EMPTSM(<<<<

I am not sure if I am doing anything wrong...

[TomDoan]

That should now be MSVARPTSM rather than EMPTSM.

[condor]

Filardo (1994) example also yields error messages regarding EMSize and EMLagState:

## SX11. Identifier EMSIZE is Not Recognizable. Incorrect Option Field or Parameter Order?
>>>> do k=1,EMSize<<<<

## SX11. Identifier EMLAGSTATE is Not Recognizable. Incorrect Option Field or Parameter Order?
>>>>isEntry(EMLagState(<<<<

[TomDoan]

I just posted an updated version of the Filardo program.

[condor]

Hi Tom,

Thanks for the post, but it still gives the same error message. I think it has something to do with the following part:

Code: Select all

   do time=start,end
      compute %MSVARPMat(time)
      compute thisEntry=%zeros(nstates,nstates)
      do k=1,EMSize
         compute thisEntry(EMLagState(k,1),EMLagState(k,2))+=EMPTSM(time)(k)
      end do k
      compute w11(time)=p(1,1)*(1-p(1,1))*(thisEntry(1,1)+thisEntry(2,1))
      compute w22(time)=p(1,2)*(1-p(1,2))*(thisEntry(2,2)+thisEntry(1,2))
      compute l11(time)=(thisEntry(1,1)-   p(1,1)*(thisEntry(1,1)+thisEntry(2,1)))/w11(time)
      compute l22(time)=(thisEntry(2,2)-(1-p(1,2))*(thisEntry(2,2)+thisEntry(1,2)))/w22(time)
   end do time

I am not sure, but it feels like EMSize and EMLagState should be replaced with MSVARFilterSize and MSVARFilterLagState respectively...

[TomDoan]

I am not sure, but it feels like EMSize and EMLagState should be replaced with MSVARFilterSize and MSVARFilterLagState respectively...

Sorry. That's correct. I just posted a fully corrected version.

[Aktar]

it seems to be also the case in the Replication file for Krolzig's "International Business Cycles: Regime
Shifts in the Stochastic Process of Economic Growth.

[condor]

it seems to be also the case in the Replication file for Krolzig's "International Business Cycles: Regime Shifts in the Stochastic Process of Economic Growth.

Yes, but Tom has already proposed the remedy to this problem. Please see the second post under this thread: viewtopic.php?f=30&t=1302#p4728

[TomDoan]

it seems to be also the case in the Replication file for Krolzig's "International Business Cycles: Regime
Shifts in the Stochastic Process of Economic Growth.

It looks as if we never had those posted on the forum. Current versions are now at:

http://www.estima.com/forum/viewtopic.php?f=30&t=1362