question about switching on @msvarsetup

Discussion of models with structural breaks or endogenous switching.
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hardmann
Posts: 252
Joined: Sat Feb 26, 2011 9:49 pm

question about switching on @msvarsetup

Unread post by hardmann »

Dear Tom:

Dear Tom, I am sorry for I have some stupid questions.
When I run hamilton.rpf, I change option switch=mh or switch=ih on @msvarsetup. Becouse H indicates variances are state-dependent, why I always get one sigma other than two.


Thanks.
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TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: question about switching on @msvarsetup

Unread post by TomDoan »

You have to use SIGMAV and not SIGMA in your NONLIN instruction if the variances are switching.
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