How to specify SWARCH

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

How to specify SWARCH

Unread post by hardmann »

Dear Tom:

I am working on SWARCH modles. We can directly specify lags by computer q=x. However, I specify state option=2 instead of original 3, I must modify demension of theta and Hv and initional value of p matrix. But procedure response MSFilterInit errors.
How can I do?
TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: How to specify SWARCH

Unread post by TomDoan »

I was able to modify SWARCH to do two states without a problem. The following were the required changes:

@MSSetup(states=2)

compute hv=||10||
compute p=||.8,.2||
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