The RATS Software Forum

I put an updated version of the @MSregression procedure on the starting post which corrects the calculation of the standardized residuals. Note that with the more modern versions of the procedures, I get two very different results from the "MSVAR" version from the "MSReg" versio...

Dear Tom, Hope you're well. I've been experimenting with a variety of Markov switching models using both the MSREGRESSION and MSVARSetup procedures on a univariate time series. I tried running the exact same specification (an MSAR(2,5) model with all parameters switching), with the initial values ge...

Thank you Tom, very much appreciated.
Gabriella

Dear Tom, I have worked in the past with ARCH, SWARCH and MSVAR models. In the UG manual (version 8 page 365) I read that is not possible to combine MS specification of the mean M ( Hamilton type model) state dependent models with MS specification of the "I" intercept state dependent model...