Balcilar, et al EE(2015)

[n_khraief]

Dear Listers,

I am trying to run the oil_stock_msvar_irf2.RPF program I have got always the same following error:

## SR3. Tried to Use Series Number 45844208, Only 5 Are Available
The Error Occurred At Location 531, Line 72 of MSSYSREGRESSION

Would you like please to help me with this.

Kind regards,
N.K

[TomDoan]

That's not the data file that the program uses.

[n_khraief]

Thank you for your reply but I used the excel file and I got the same error message.

[TomDoan]

1. It has nothing to do with the data file. However, I couldn't run a program which references a data file that I don't have.
2. Use a newer version of @MSSYSREGRESSION.
3. A MS model is completely inappropriate to your data. There are definitely multiple regimes, but there's nothing "Markov" about them---there's a 30 year period in the middle of the data where the oil prices are controlled.

[n_khraief]

Many Thanks Tom.

It is not my data basis, just I tried to replicate the estimation of a published paper (Energy Economics 49 (2015) 317–327) with their data basis and their program.

N.K

[TomDoan]

I have an e-mail in to the authors with some questions about what they did. At any rate, you need a newer version of MSSYSREGRESSION.

[n_khraief]

Dear Tom,

I am so grateful.

Did you mean the last version of MSSYSREGRESSION the attached file.

Kind regards and many thanks,
N.K

[TomDoan]

Yes.

[TomDoan]

A cleaned up version of the program is now posted at https://estima.com/forum/viewtopic.php?f=8&t=2536. As in the paper, this finds two regimes, one where the price of oil doesn't change, one where it does. As I said above, it's not clear that a "Markov" assumption is reasonable for that, since for about 30 years, the price of (U.S.) oil was controlled by law.

[n_khraief]

Thanks a lot, Tom.

[n_khraief]

Dear Tom thank you for your valuable efforts.

I have a question:

Why the error:

## SR3. Tried to Use Series Number 70201344, Only 9 Are Available
The Error Occurred At Location 531, Line 72 of MSSYSREGRESSION

repeated after the following part of program

@mssysregression(states=2,switch=ch)
# dlsp dloil
# dlsp{1 to lag} dloil{1 to lag} constant ect{1}

Thanks,
N.K

[TomDoan]

You're using an outdated version of the program. The whole MS suite of procedures has changed.

[n_khraief]

Dear Tom,

How can test for the presence of Markov assumption in time series?

Thanks,
N.K

[TomDoan]

There really isn't a way to do that. Tests for n+1 vs n regimes are very complicated and generally not worth the effort---people typically use information criteria to compare those, though that requires that you can actually fit an n+1 regime model, which is often quite a task if n regimes are adequate as the n+1 regime model isn't identified. And I'm not sure I've ever seen a test for Markov vs some other form of switching.

[n_khraief]

Many thanks Tom.

Actually, I just found this paper that developed a new test for the Markov property in time series. A Gauss code to implement
this test is available from the authors.

https://hong.economics.cornell.edu/pape ... Series.pdf

Thanks a lot Tom,
N.K