topic Re: Markov-Switching vector autogressive model (MS-VAR) in SAS Forecasting and Econometrics https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Markov-Switching-vector-autogressive-model-MS-VAR/m-p/97662#M514 <HTML><HEAD></HEAD><BODY><P>Joseph -</P><P>I'm by no means an expert for Markov-Switching vector autogressive models, but this example might help getting you started:</P><P><SPAN style="font-family: 'Calibri','sans-serif'; font-size: 10pt; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;"><A href="http://support.sas.com/documentation/cdl/en/etsug/66100/HTML/default/viewer.htm#etsug_model_sect277.htm">http://support.sas.com/documentation/cdl/en/etsug/66100/HTML/default/viewer.htm#etsug_model_sect277.htm</A></SPAN></P><P>Thanks,</P><P>Udo</P></BODY></HTML> Fri, 02 Aug 2013 19:46:11 GMT udo_sas 2013-08-02T19:46:11Z Markov-Switching vector autogressive model (MS-VAR) https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Markov-Switching-vector-autogressive-model-MS-VAR/m-p/97661#M513 <HTML><HEAD></HEAD><BODY><P><BR />Does anybody know the SAS code for the Markov regime switching autoregressive model by <SPAN class="st"><SPAN class="ft">Sims and Zha (2006)</SPAN></SPAN>? I searched the VARMAX section, but I could not find the related part at all. I would like to examine the bond yields relations among several markets with different regime (crisis vs. normal or high volatility vs. low volatility). </P><P></P><P>Joseph </P></BODY></HTML> Fri, 02 Aug 2013 09:49:54 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Markov-Switching-vector-autogressive-model-MS-VAR/m-p/97661#M513 hjosephkim 2013-08-02T09:49:54Z Re: Markov-Switching vector autogressive model (MS-VAR) https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Markov-Switching-vector-autogressive-model-MS-VAR/m-p/97662#M514 <HTML><HEAD></HEAD><BODY><P>Joseph -</P><P>I'm by no means an expert for Markov-Switching vector autogressive models, but this example might help getting you started:</P><P><SPAN style="font-family: 'Calibri','sans-serif'; font-size: 10pt; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;"><A href="http://support.sas.com/documentation/cdl/en/etsug/66100/HTML/default/viewer.htm#etsug_model_sect277.htm">http://support.sas.com/documentation/cdl/en/etsug/66100/HTML/default/viewer.htm#etsug_model_sect277.htm</A></SPAN></P><P>Thanks,</P><P>Udo</P></BODY></HTML> Fri, 02 Aug 2013 19:46:11 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Markov-Switching-vector-autogressive-model-MS-VAR/m-p/97662#M514 udo_sas 2013-08-02T19:46:11Z