Forecasting using SAS Forecast Server, SAS/ETS, and more

Markov-Switching vector autogressive model (MS-VAR)

Accepted Solution Solved
Reply
New Contributor
Posts: 3
Accepted Solution

Markov-Switching vector autogressive model (MS-VAR)


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


Accepted Solutions
Solution
‎08-09-2017 03:06 PM
SAS Employee
Posts: 416

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

Posted 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

View solution in original post


All Replies
Solution
‎08-09-2017 03:06 PM
SAS Employee
Posts: 416

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

Posted 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

🔒 This topic is solved and locked.

Need further help from the community? Please ask a new question.

Discussion stats
  • 1 reply
  • 1267 views
  • 0 likes
  • 2 in conversation