Switching Autoregressive Coefficients
Posted: Sun Apr 03, 2011 5:10 pm
Hello,
I understand that when using the @MSVARSetup procedure we have the option of having the mean or the intercept switch, along with the option of having the variances switch between regimes.
However, is it possible to have the autoregressive coefficients switch between regimes?
Thanks in advance for any responses or suggestions.
I understand that when using the @MSVARSetup procedure we have the option of having the mean or the intercept switch, along with the option of having the variances switch between regimes.
However, is it possible to have the autoregressive coefficients switch between regimes?
Thanks in advance for any responses or suggestions.