MSREGRESSION: RATS procedure to perform Markov switching linear regression procedures

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Procedure file for Markov Switching univariate linear regressions, with either the full coefficient vector switching or part of the coefficient vector switching and part fixed. Use the MSVARSetup procedures for switching autoregressions and VAR's, and MSSysRegression for other types of multivariate regressions.

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 https://www.estima.com/ratsfiletypes.shtml
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https://www.estima.com/procs_perl/msregression.src (text/plain)

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