MSSYSREGRESSION: RATS procedure to perform Markov switching linear systems regression procedures

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Procedure file for Markov switching multivariate linear regressions (same right hand side variables) with either the full coefficient vector switching or part of the coefficient vector is switching and part fixed. Use the MSVARSetup procedures for switching autoregressions and VAR's where only the mean (and possibly the variance) changes.

Language: RATS
Requires: RATS 8.00
Keywords: Markov; switching; models (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See http://www.estima.com/ratsfiletypes.shtml
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http://www.estima.com/procs_perl/mssysregression.src (text/plain)

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