| To: | s-news@lists.biostat.wustl.edu |
|---|---|
| Subject: | Finmetrics 2.0: Markov Switching AR Model |
| From: | Adrian Lerch <adrianlerch@yahoo.de> |
| Date: | Fri, 30 Sep 2005 20:28:49 +0200 (CEST) |
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Hallo
I would like to estimate a Markov Switching Model with no autoregressive coefficient (AR(0)), but with intercept terms that are regime switching. Regarding the Function MSAR(), I can't figure out how to specify the AR(0) part. Does anyone know how this can be done with Finmetrics 2.0?
Thanks for any help.
Regards
Adrian
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