## Krolzig MSVAR Examples

Discussion of models with structural breaks or endogenous switching.

### Krolzig MSVAR Examples

These are replication file for Krolzig's "International Business Cycles: Regime Shifts in the Stochastic Process of Economic Growth", Oxford University Discussion Paper. This estimates a variety of six variable Markov Switching VAR's with differing numbers of states, lags and other settings. They are all done using the file MSVARSETUP and procedures included in it. The use of these is described in greater detail in the switching models e-course: for more information see

http://www.estima.com/forum/viewtopic.php?f=24&t=1185

In general, the multivariate models get more complicated as you go from pt1 to pt7. All but one of these uses switching means (Hamilton style switching) which is much more complicated than switching intercepts---it requires augmenting regimes since the current residual depends upon current and lagged regimes. The final example is a 3 regime, 4 lag model, which has 3^(4+1)=125 branches in the likelihood. This takes quite a long time to estimate.

wbc.xls
Data file

wbc_univariate.rpf
Univariate MS models

wbc_multivariate_pt1.rpf
MS(2)-VAR(1) model

wbc_multivariate_pt2.rpf
MS(2)-VAR(1), heteroscedastic model

wbc_multivariate_pt3.rpf
MS(2)-VAR(1), shifts in intercept

wbc_multivariate_pt4.rpf
MS(2)-VAR(4) model

wbc_multivariate_pt5.rpf
MS(2)-VAR(4), heteroscedastic

wbc_multivariate_pt6.rpf
MS(3)-VAR(1), heteroscedastic

wbc_multivariate_pt7.rpf
MS(3)-VAR(4), heteroscedastic
TomDoan

Posts: 2724
Joined: Wed Nov 01, 2006 5:36 pm

### Re: Krolzig MSVAR Examples

Dear Tom, are these Krolzig example files the same coming into WinRats 8.1?...Best regards
flopez2011

Posts: 8
Joined: Sat Apr 23, 2011 2:27 pm

### Re: Krolzig MSVAR Examples

flopez2011 wrote:Dear Tom, are these Krolzig example files the same coming into WinRats 8.1?...Best regards

A few of them have been corrected to use the variables from the newest versions of MSVARSETUP.
TomDoan

Posts: 2724
Joined: Wed Nov 01, 2006 5:36 pm