Display regime probabilities for a switching VAR.
Syntax
var_name.rgmprobs(options) [indices]
where var_name is the name of a switching VAR object. The elements to display are given by the optional indices corresponding to the regimes (e.g., “1 2 3” or “2 3”). If indices is not provided, results for all of the regimes will be displayed.
Options
type=arg (default=“pred”) | Type of regime probability to compute: one-step ahead predicted (“pred”), filtered (“filt”), smoothed (“smooth”). |
view=arg (default=“graph”) | Display format: multiple graphs (“graph”), single graph “graph1”, sheet (“sheet”), summary (“summary”). |
prompt | Force the dialog to appear from within a program. |
p | Print results. |
Examples
var var1.switchls(type=markov) y1 y2 y3
var1.rgmprobs
displays graphs containing the one-step ahead regime probabilities for the Markov switching VAR estimated in VAR1.
var1.rgmprobs(type=filt) 2
displays the filtered probabilities for regime 2.
var1.rgmprobs(type=smooth, view=graph1)
displays the smoothed probabilities for both regimes in a single graph.
Cross-references
See
“Switching VAR” for discussion.