Save the regime probabilities for switching VAR in series in the workfile.
Syntax
var_name.makergmprobs(options) series_names
where var_name is the name of an switching VAR object. The series to be saved should be listed following the command name and options, with one name per regime for one up to the number of estimated regimes.
Options
type=arg (default=“pred”) | Type of regime probability to compute: one-step ahead predicted (“pred”), filtered (“filt”), smoothed (“smooth”). |
n=arg | (optional) Name of group to contain the saved regime probabilities. |
prompt | Force the dialog to appear from within a program. |
Examples
var var1.switchls(type=markov) y1 y2 y3
var1.makergmprobs r1 r2
saves the one-step ahead regime probabilities for the Markov switching regression estimated in VAR in series R1 and R2 in the workfile
var1.makergmprobs(type=filt) f1
saves the filtered probabilities for regime 1 in F1.
var1.makergmprobs(type=smooth, n=smoothed) s1 s2
saved the smoothed probabilities for both regimes in the series S1 and S2, and creates the group SMOOTHED containing S1 and S2.
Cross-references
See
“Switching VAR” for discussion.