The RATS Software Forum

Dear Tom,

I have used the following sytax for the Markov switching systems regression, after importing the data. However, I got no error message but also no output for the regression. What additional information should I input in this case?

@MSSysRegression( states=1, switch=c, nfix=0 )
# y1 y2
# constant x1 x2

BTW, after estimation, can I get the residuals of the models?

Thank you very much in advance!

Best Regards,

Yukun

@MSSysRegression only sets up the model and the various matrices required. You then have to choose the appropriate method of estimation and execute that. See Ehrmann-Ellison-Valla(2003) which has programs doing the three types of available estimation: EM, Maximum Likelihood and Gibbs sampling.