The RATS Software Forum

Hi Tom Would you kindly show me how to modify so that the program can also do both the mean equation and arch parameter switches? Similarly on hs_swarch_gl22.rpf for Hamilton and Susmel(1994), "Autoregressive Conditional Heteroskedasticity and Changes in Regime" I am planning to add regres...

Hi, I took the Switching Models and Structural Breaks course, and have many great codes on Markov Switching (thank you!!). I tried to take a crack at it to modify the SWARCH model or MS ARCH model so that i can do the switching on the mean equation's coefficients, instead of what the examples are do...

Hi, thank you for getting back to me. I found a way to get around the problem. :).. though have not solved the problem Here is my question.... say we have the following AR(1) model: home sales change (t) = 0.992 home sales change (t-1) + 0.002 GDP change (t), and assume both home sales and GDP chang...

Hi all, I am wondering if anyone has encountered an issue with dominated autoreggressive term. eg Y(t) = intercept + a * Y(t-1) + b1*X1(t) + b2*X2(t) where a >> b1 and b2, when values of Y(t-1) are comparable to those in X1(t) and X2(t), or where a * Y(t-1) >> b1 * X1(t) and b2 * X2(t) Is there a wa...