VAR's under Regime Shifts

blucey · Unread post by **blucey** » Fri Nov 24, 2006 1:59 pm

Anybody got code for regime shifting VAR/VECM?

zoo · Unread post by **zoo** » Mon Nov 27, 2006 8:29 am

for a linear shift if you use cats in rats you can adding two lines such as:

set D85 78:6 85:03 = 0
set D85 85:03 96:06 = 1

where the dummy D85 lies in the cointegration space.

blucey · Unread post by **blucey** » Mon Nov 27, 2006 8:55 am

zoo wrote:for a linear shift if you use cats in rats you can adding two lines such as:

set D85 78:6 85:03 = 0
set D85 85:03 96:06 = 1

where the dummy D85 lies in the cointegration space.

Indeed. However, I should really try to make myself clear when I post.... I meant in essence Markov Shifting VAR's