很久没注意自己的帖子了，没想到又被顶了起来，很是高兴，想告诉一下，这本书的作者有一个 MSVAR package 放在网上，这本书也是那里来的。。。哈，所以不要买了，http://www.economics.ox.ac.uk/research/hendry/krolzig/。。。。这个package works very well, you can choose different models.....quite powerful, if you know ox, it is really a great package for estimating threshold and markov switching VAR or AR models, but it has not been updated since dec. 2004, therefore, want it works, change your computer time setting (before 2006), for the time being, I feel two problems with this package (1) can not impose restrictions on parameters (2) robust model specification test statistics: not avaliable. my opinion, the second problem, no big deal, with the results from the package, you can develope test stastics (refer to Hamilton 1996, journal of econometrics);
maybe later, i will make my MSmodel package written in ox available, but for the time being, it is not user friendly,.......so need quite some time to make it better.....
anyway, everybody, good luck in your academic endeavour....
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