MS-VAR

Hi,

I am running a Markov Switching model of a regression that has a dependent variable on the LHS of the regression equation and then lagged values of both the dependent variable and other independent variables on the LHS. I have been told to use MS VAR for this estimation. The problem is the code I have been using as a benchmark only implies a lag of the dependent variable on the RHS of the regression equation.

http://www.mathworks.com/matlabcentral/fileexchange/15789-msregress-a-package-for-markov-regime-switching-models-in-matlab/content/MS_Regress_FEX/Example_MS_Regress_Fit_MSVAR.m

I have also looked at the function MS-VAR fit but haven’t been able to figure out how to apply it correctly. Does anyone have any idea as to solving this problem? Any feedback would be greatly appreciated.

Thanks, Shane.

[MAYOWA OLADIPUPO]

Shane, How far have you been able to write your codes for the MS-VAR model with exogenous variable (MS-VARX in the terminology of Krolig). I would be please if u can share your code with me because am also working on writing my MS-VARX code for my work but having problem with it. Again i would appreciate other assistance in this regards. My email address is "[e-mail]"

Thanks for your usual help.

[SRINJAY CHANDRASEKAR]

Hi Shane,

I'm working on my dissertation and i find the need to use an MS-VAR model. If you've completed writing the code, could you please share the file with me?. My email address is- "[e-mail]".

Thanks in advance