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