P Matrix in MSVarSetup

[alexecon]

Matrix P in MSVarSetup is a nstates-1 x nstates transition matrix. With three regimes, e.g., the procedure provides estimates and standard errors for the following:

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P=
(1,1) (1,2) (1,3)
(2,1) (2,2) (2,3)

Am I right that to get the nstates x nstates matrix, one needs to construct the last row as follows?

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(1-(1,1)-(2,1)) (1-(1,2)-(2,2)) (1-(1,3)-(2,3))

What about the standard errors, how can these be computed?

[TomDoan]

That's correct. You can use SUMMARIZE if you want to compute standard errors. See, for instance, the MHHP737.RPF example (Martin, Hurn and Harris textbook examples), which does a function of the transition probabilities in a 2 regime case.