Markov-Switching vector autogressive model (MS-VAR)

[hjosephkim]

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

[udo_sas · Accepted solution]

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