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Calcite | Level 5

Calcite | Level 5

Markov-Switching vector autogressive model (MS-VAR)

Posted 08-02-2013 05:49 AM (2366 views)

Does anybody know the SAS code for the Markov regime switching autoregressive model by Sims and Zha (2006)? 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).

Joseph

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SAS Employee

SAS Employee

Re: Markov-Switching vector autogressive model (MS-VAR)

Posted 08-02-2013 03:46 PM (2231 views) | In reply to hjosephkim

Joseph -

I'm by no means an expert for Markov-Switching vector autogressive models, but this example might help getting you started:

http://support.sas.com/documentation/cdl/en/etsug/66100/HTML/default/viewer.htm#etsug_model_sect277....

Thanks,

Udo

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SAS Employee

SAS Employee

Re: Markov-Switching vector autogressive model (MS-VAR)

Posted 08-02-2013 03:46 PM (2232 views) | In reply to hjosephkim

Joseph -

I'm by no means an expert for Markov-Switching vector autogressive models, but this example might help getting you started:

http://support.sas.com/documentation/cdl/en/etsug/66100/HTML/default/viewer.htm#etsug_model_sect277....

Thanks,

Udo