The RATS Software Forum

Thanks for reply. :D Actually i couldn't find the basing paper or book about multivariate case and Some paper just mention about multivariate MS GARCH with no algebra. :( As you mentioned, I have read the Dueker(1997) paper again and try to extend the Dueker filter to the multivariate case. But i co...

Hi. I have some question about MS GARCH code. I want to change the MS GARCH code in 'RATS handbook for Swithching models and structural breaks'. Book example is for univariate case and i want to change it to multivariate case. So, i try to change the code but it is really hard to me. :( I have probl...

Dear TomDoan, I try to do a Markov Switching linear regression using the msregression.src which you posted. However, when I impose a constraint on my model, the maximization does not work properly. How can I impose a constraint that state 1 coefficient is zero? This is my codes and my data: ********...

Can we extend the allerano-bond model (1991) into Blundell and Bond(1998)'s system GMM ?