http://www.aptech.com Fri, 08 Feb 2013 19:12:28 +0000 en-US hourly 1 http://wordpress.org/?v=3.4.1 http://www.aptech.com/questions/markov-switching-vector-autoregression-model/#answer-2980 http://www.aptech.com/questions/markov-switching-vector-autoregression-model/#answer-2980#comments Fri, 28 Dec 2012 20:10:01 +0000 Aptech http://www.aptech.com/questions/markov-switching-vector-autoregression-model/#answer-2980 Continue reading →]]> 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).

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