Krolzig MSVAR Examples
Posted: Wed Mar 07, 2012 1:02 pm
These are replication file for Krolzig's "International Business Cycles: Regime Shifts in the Stochastic Process of Economic Growth", Oxford University Discussion Paper. This estimates a variety of six variable Markov Switching VAR's with differing numbers of states, lags and other settings. They are all done using the file MSVARSETUP and procedures included in it. The use of these is described in greater detail in the switching models e-course: for more information see
http://www.estima.com/forum/viewtopic.php?f=24&t=1185
In general, the multivariate models get more complicated as you go from pt1 to pt7. All but one of these uses switching means (Hamilton style switching) which is much more complicated than switching intercepts---it requires augmenting regimes since the current residual depends upon current and lagged regimes. The final example is a 3 regime, 4 lag model, which has 3^(4+1)=125 branches in the likelihood. This takes quite a long time to estimate.
http://www.estima.com/forum/viewtopic.php?f=24&t=1185
In general, the multivariate models get more complicated as you go from pt1 to pt7. All but one of these uses switching means (Hamilton style switching) which is much more complicated than switching intercepts---it requires augmenting regimes since the current residual depends upon current and lagged regimes. The final example is a 3 regime, 4 lag model, which has 3^(4+1)=125 branches in the likelihood. This takes quite a long time to estimate.