Using MSVARSETUP

Discussion of models with structural breaks or endogenous switching.
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RP
Posts: 1
Joined: Wed Sep 03, 2008 11:31 pm

Using MSVARSETUP

Unread post by RP »

Hi,

I am trying to use the program MSVARSETUP to run and to estimate a Markov switching model. However, I have a few issues with the program:

1. When I use the switching option 'INTERCEPT' and try to plot the smooth probabilities I am not able to do so. This problem does not arise when I use the option 'MEANS.'

2. When I use the variance option 'Heterogeneous' together with the option 'Intercept' I am not able to get the variance estimates to converge and it does not plot the smooth probabilities.

I am not sure what the problem is but I would be grateful if you could please assist me in this regard. Thank you.
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