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VAR's under Regime Shifts
Posted: Fri Nov 24, 2006 1:59 pm
by blucey
Anybody got code for regime shifting VAR/VECM?
Posted: Mon Nov 27, 2006 8:29 am
by zoo
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.
Posted: Mon Nov 27, 2006 8:55 am
by blucey
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