MSVARSetup - Markov Switching VAR (obsolete)

[adrangi]

Hi Tom. I saw the posts on @MSVARsetup. I rant the following and got no error messages or results. I'm using the trial version of 9.1. It reads the data fine. Any ideas? Thanks much. happy New Year. Bahram


DATA(FORMAT=XLSX,ORG=COLUMNS) 1 180 Date pcimx pcibz pcicl pciag pcco

Stats pcco
Stats pciag
Stats pcibz

@MSVARsetup(lags =1, states=2, switch=i)
# pcco pciag pcibz

[TomDoan]

That merely sets up the information required for that. You have to continue as described in the User's Guide. Note that these can be very hard models to fit---they often have multiple modes.

[adrangi]

Hi Tom. Thanks much. I made a few attempts following the UG. Unfortunately wasn't too successful. I searched the forum and the manuals for a time-varying VAR procedure or example. I didn't see any. Any ideas if there is one buried somewhere? Thanks much for comments. Best, Bahram

[TomDoan]

For a time-varying MS model, see the Filardo replication. However, there are very few convincing published examples of the use of that. It's hard enough to get sensible estimates with fixed transitions; time-varying transitions throw in another level of (probably unnecessary) complexity.

[adrangi]

Hi Tom. Thanks. I got the MSVAR results. Best, Bahram