MS-VAR (COEFFICIENTS)
Posted: Mon Jul 04, 2011 5:09 pm
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.
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.