TomDoan wrote:
SWITCH=[C]/CH/H
C means that coefficients are switching, H indicates variances are switching.
NFIX=# of explanatory variables which are fixed across regimes [0 or all]
If SWITCH=C or CH, the default is 0, if SWITCH=H, it's all. The fixed coefficients must be placed first in the supplementary card for regressors.
Hello Tom,
I downloaded the RATS program to replicate results from Ehrmann, Ellison, Valla (2003) and tried to run eev_mcmc. The software stops running and I have to restart it whenever I try to set "switch" to be C, however everything works perfectly when "switch" is set to be CH. I would like to estimate the model assuming the covariance matrix to be state-independent, could you please tell me how to do so? Thanks a lot
p.s.
here is where I downloaded the program:
http://ideas.repec.org/c/boc/bocode/rtz00177.html