MS-VAR (COEFFICIENTS)

Use this forum to post questions about syntax problems or general programming issues. Questions on implementing a particular aspect of econometrics should go in "Econometrics Issues" below.
Post Reply
ecrgap
Posts: 36
Joined: Mon May 25, 2009 10:24 am

MS-VAR (COEFFICIENTS)

Unread post by ecrgap »

Hi Tom,

I want to run an MS-VAR model whose coefficients on the lagged variables will be changing over time. So far I have found examples where only the intercept and/or the shocks variances change over time. Is there any example I can refer to?

Additionally, is there any example on how to compute the regime dependent impulse responses?

Thank you very much in advance.
Top
Post Reply

Return to “Help With Programming”