Markov Switching VECM

[nacrointfin]

Dear All:

Can the markov switching vecm be implemented under the command 'msvarsetup'?

Best,

Terence Wan

[TomDoan]

Dear All:

Can the markov switching vecm be implemented under the command 'msvarsetup'?

Best,

Terence Wan

You would have to use @MSSysRegression instead since it allows for more general equation forms. The one difference is that MSVARSETUP allows for switching means, while MSSysRegression only has switching coefficients. For an example, see Balcilar, Gupta and Miller, EE(2015)

[OLUSEGUN]

Pls i need codes for MS TVP VECM and MS VECM

[TomDoan]

Pls i need codes for MS TVP VECM and MS VECM

For an MS-VECM see Balcilar, Gupta and Miller, EE(2015). I'm not sure what you mean by an MS TVP VECM. Did you mean TVTP (time-varying transition probabilities)?

[OLUSEGUN]

thanks TomDoan for the MS-VECM. For the second one, what i mean is Time - Varying Parameters (TVP) - VECM

[TomDoan]

thanks TomDoan for the MS-VECM. For the second one, what i mean is Time - Varying Parameters (TVP) - VECM

Sorry again. You mean just Time-Varying Parameters VECM, not anything with Markov Switching? (MS-TVP-VECM sounds like a model which has no chance of working).