MSVAR or MSsysregression?

[fan]

Dear Tom,

I have 3 series (Y1,Y2,Y3)over past 100 years and I assume that each series is described by a mixture of two normal distributions but the transition to each distribution is common to all 3 series. In other words, Yt,i=Ust,i+et,i, i=1,2,3. I am wondering if I can use MSVAR by setting lag=0 or I should use MSSysregression? Thank you in advance

[TomDoan]

MSVAR is for a VAR (or autoregression) only. It's only a self-contained model like that which can allow for a switching "mean" (rather than intercept) the way that Hamilton handles it. Anything else should use the simpler (and more general) MSSysRegression.

[fan]

MSVAR is for a VAR (or autoregression) only. It's only a self-contained model like that which can allow for a switching "mean" (rather than intercept) the way that Hamilton handles it. Anything else should use the simpler (and more general) MSSysRegression.

Thank you for the quick reply. I ordered the course, but the course material has not sent to me yet. Is there any example you can kindly provide for me to study MSsysregression? Many Thanks

[TomDoan]

Ehrmann, Ellison, Valla. Balcilar, Gupta, Miller. Francis and Owyang.