[Scilab-users] Grocer - Markov Switching model estimation
Cristian
c_rabanal0 at yahoo.com.ar
Sat Jun 13 01:53:30 CEST 2015
Hello everyone, I try to estimate a MS with Grocer . I have *annual data*. I
have read the chapter 23 (manual), where I found an perfect example for
quartely data. Even though, I have alredy a doubt.
The chapter 23 gives us an example to etimate a MS-AR(3). The specification
is the following:
r=ms_reg('100*(lpbi-lagts(2,lpbi))',['100*(lagts(1,lpbi)-lagts(3,lpbi))';...
-->'100*(lagts(2,lpbi)-lagts(4,lpbi))';'100*(lagts(3,lpbi)-lagts(5,lpbi))'],'cte',nb_states,switch_var,var_opt,'transf=stud',...
-->'prt=initial;final')
So, the question is: How should I modify that expression in order to
estimate a MS-AR(1) with anual data?
Thanks in advance
Cristian
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