Smoothed Probabilities in MS model

Discussion of models with structural breaks or endogenous switching.
Catife
Posts: 9
Joined: Sun Mar 20, 2016 10:18 pm

Smoothed Probabilities in MS model

Unread post by Catife »

Dear Tom,

I have a small question about the generated smoothed probabilities from %mssmoothed. After estimating my MS model (converged), using %mssmoothed gives me some probabilities which are not in the interval [0,1]. Some of them are bigger than 1, like 1.0000765262 or even 20. On the other hand, some of them are negative. Could you tell me some possible reasons behind that? I already check the estimated transition probabilities. They look normal and are between 0 and 1. I really appreciate any help from you.
TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: Smoothed Probabilities in MS model

Unread post by TomDoan »

No. You would have to post your program and data so I could take a look.
Post Reply