[Scilab-users] Grocer / Markov Switching Model

[ericdoblas]

function r=ms_reg_d()
 
global GROCERDIR;
 
// demo of ms_reg

I sorry Éric, this is the routine.

How I can conditioning the var-cov matrix??

Thank you!!
Eric 


load(GROCERDIR+'\data\us_revu.dat')
 
bounds('1967m4','2004m2')
 
nb_states=2
switch_var=2 // variances are switching
var_opt=3 // unrestricted var-cov matrix
 
r=ms_reg('100*(log(us_revu)-lagts(2,log(us_revu)))',['100*(lagts(1,log(us_revu))-lagts(3,log(us_revu)))';...
'100*(lagts(2,log(us_revu))-lagts(4,log(us_revu)))';'100*(lagts(3,log(us_revu))-lagts(5,log(us_revu)))'],'cte',nb_states,switch_var,var_opt,'transf=stud',...
'prt=initial;final')
endfunction




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