nazif wrote:Dear Tom,
Is it possible to produce regime transition probabilities and also regime properties similar to original Ox code of Ehrmann?
nazif wrote:and I come to another question when I am plotting irfs. Could you please explain to me what are irf(3,8) and irf(4,8) in the four-variable system? for example is irf(3,8) the response of the third variable to the fourth shock in the second regime?
ege_man wrote:Dear Tom,
We get some referee comments for our paper they are also asking variance decompositions. Therefore I would like to ask you if there is a code to calculate regime dependent forecast error decompositions based on markov regime regime switching models. I am using version 8.1
Thanks
rawraw wrote:Hi, tom
I am confused about "Draw 'xxxx' Redrawing regimes with regime of size 'x.xx' " in running "Draw the regimes" of the code(x means a integer),and it was still redrawing after 12 hours, i had to abort it.my model contain 3 variables, sample period:2002M02-2013M03,lag order is 2 based on hq.Thanks a million.
Best wishes
TomDoan wrote:rawraw wrote:Hi, tom
I am confused about "Draw 'xxxx' Redrawing regimes with regime of size 'x.xx' " in running "Draw the regimes" of the code(x means a integer),and it was still redrawing after 12 hours, i had to abort it.my model contain 3 variables, sample period:2002M02-2013M03,lag order is 2 based on hq.Thanks a million.
Best wishes
That's a rather strong indication that the second regime isn't necessary---it can't get more than five data points in one of the regimes.
@MSSysRegSetModel(regime=1)
compute factor=%decomp(sigmav(1)),factor=factor*inv(%diag(%xdiag(factor)))
impulse(noprint,model=MSSysRegModel,results=impulses1,steps=steps,factor=factor)
*
* Save IRF's for regime 2
*
@MSSysRegSetModel(regime=2)
compute factor=%decomp(sigmav(2)),factor=factor*inv(%diag(%xdiag(factor)))
impulse(noprint,model=MSSysRegModel,results=impulses2,steps=steps,factor=factor)
TomDoan wrote:Just add this after the estimation is finished. This will do the responses to shocks normalized to unit impacts, as they do in the paper.
- Code: Select all
@MSSysRegSetModel(regime=1)
compute factor=%decomp(sigmav(1)),factor=factor*inv(%diag(%xdiag(factor)))
impulse(noprint,model=MSSysRegModel,results=impulses1,steps=steps,factor=factor)
*
* Save IRF's for regime 2
*
@MSSysRegSetModel(regime=2)
compute factor=%decomp(sigmav(2)),factor=factor*inv(%diag(%xdiag(factor)))
impulse(noprint,model=MSSysRegModel,results=impulses2,steps=steps,factor=factor)
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