The RATS Software Forum

I know it is similar to Gray (1996), however, I am still having problem of setting up the bi variate estimation. Is there a sample code to set up bi variate MS switching ? Thank you.

Hi, Tom, thank you for the fast reply. I find the following matlab code % Function for forecasting in t+1 an Markov Switching regression model % estimated with MS_Regress_Fit.m % % Input: Spec_Output - Specification output from estimation (check MS_Regress_Fit.m) % newIndepData - New information tha...

Hi, Tom, I just wonder do you have the codes for replicating Perez-Quiros and Timmermann(2000),Firm Size and Cyclical Variations in Stock Returns? JF.

I completely stuck on creating Bi-variate Markov Model and Testing for the symmetry.

Hi:

I'm a new user to RATS and I'm having difficulty loading data for an unbalanced panel. The data is monthly and the number per individual varies from 1 to 9 years.
Does anyone have any suggestions?

Regards,

Eric