MSVARSetup - Markov switching support procedures

[TomDoan]

The attached is a revised version (21 September 2011) of the Markov switching support procedures for VAR's. This now allows for various combinations of switching means, intercepts and coefficients. This is mainly designed to deal with the more complicated "Hamilton" type model, where the switch is in the mean. All other types of switches can also be handled by the @MSSYSRegression procedures (http://www.estima.com/forum/viewtopic.php?f=7&t=1209), which have the additional flexibility of allowing variables other than just the lagged dependent variables into the model.

This requires a compatible version of the MSSetup procedures (http://www.estima.com/forum/viewtopic.php?f=7&t=1207).'

msvarsetup.src

MS-VAR support procedures - requires RATS 8.00 or later

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Syntax

@MSVARSetup( options )
# list of dependent variables

Options
LAGS=# of VAR lags [1]
STATES=# of states [2]
SWITCH=[M]/I/MH/IH/C/CH
In each of these, M indicates a Hamilton-type model where the mean of the series is regime-dependent. I indicates the intercept is regime-dependent. C indicates that the full coefficient matrix switches. Those are mutually exclusive. H indicates variances are regime-dependent.