The RATS Software Forum

Does anybody have a RATS code for generating regime-dependent impulse response functions for Markov-switching VARs (see M. Ehrmann et al., Regime-Dependent IRFs in a MS-VAR Model, Economics Letters 78, pp 295-299 (2003)) -- which can be used, e.g., to see if the impulse responses are asymmetric depe...

Yes, please include: -- Markov switching SVAR (SZ 2006 and RWZ 2006) -- Markov switching BVAR (SWZ) (Matlab codes for these two are apparently available from Tao Zha's webpage); -- also, MS-VECM Thanks! Also, impulse responses for all these and MS-VAR and graph of probabilities as in SZ and RWZ pape...

Hi everyone, I just want to know if you have any knowledge/opinion about automatic selections like general-to-specific (e.g. PCGETS). Is this valid practice or bad econometrics? Any Econometrica-type publication- "evidence" (other than papers from the Oxford group selling the software) to ...

How about MS-SVAR a la Rubio-Ramirez, Waggoner, Zha (2005)?