MSSYSREGRESSION (Markov switching systems regression)

[TomDoan]

This is a file with the support procedures for Markov switching multivariate linear regressions (same right hand side variables) with either the full coefficient vector switching or part of the coefficient vector switching and part fixed. The covariance matrices can either be switching or fixed. This has been revised (May 2012) to allow for time-varying transition probabilities. You also need a compatible version of @MSSetup (http://www.estima.com/forum/viewtopic.php?f=7&t=1207). If you need Hamilton-style switching means, use @MSVARSetup [url](viewtopic.php?f=7&t=512[/url]) instead.

mssysregression.src

MS linear systems regression support procedures - requires RATS 8.0 or later

(18.99 KiB) Downloaded 101 times

Syntax

@MSSysRegression( options )
# list of dependent variables
# list of explanatory variables

Options
STATES=# of states [2]
SWITCH=[C]/CH/H
C means that coefficients are switching, H indicates variances are switching.
NFIX=# of explanatory variables which are fixed across regimes [0 or all]
If SWITCH=C or CH, the default is 0, if SWITCH=H, it's all. The fixed coefficients must be placed first in the supplementary card for regressors.

[hashem]

Dear Tom,

Does this allow for Markov switching with time varying transition probabilities?

Hashem

[TomDoan]

Not as written. You would need to override the P matrix calculation as is done in the Filardo replication (http://www.estima.com/forum/viewtopic.php?f=30&t=513) which uses MSVAR.