Save the regime probabilities for switching regression equation into series in the workfile.
Syntax
equation_name.makergmprobs(options) series_names
where equation_name is the name of an equation estimated using switching regression. 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
equation eq1.switchreg(type=markov) y c @nv ar(1) ar(2) ar(3)
eq1.makergmprobs r1 r2
saves the one-step ahead regime probabilities for the Markov switching regression estimated in EQ1 in series R1 and R2 in the workfile
eq1.makergmprobs(type=filt) f1
saves the filtered probabilities for regime 1 in F1.
eq1.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