Markov Switching-Vector Autoregression model

User ForumMarkov Switching-Vector Autoregression model
emeraldmayowa asked 4 years ago

i want to ask if GAUSS 10 or later version can estimate a Markov Switching-Vector Autoregression (MS-VAR) with an exogenous variables that is also subject to shift parameter. Again how can one writes the codes

1 Answers
Aptech Staff answered 4 years ago

The application Time Series MT, has a function switchmt for this type of estimation. It assumes that exogenous independent variables switch with the regimes. So if you specify three exogenous variables  and two states, there would be a total of six coefficients for the exogenous variables (3 parameters x 2 states).