如果您熟悉GAUSS语言,可以使用MSVAR
具体代码从http://bellone.ensae.net下载
This version has been deeply enhanced .It introduces a general Multivariate Markov-Switching Regression framework and enables estimates dealing with 5 different family models :
1, MS-Mean-Variance model : y[t,.]= 1.Beta_S(t)+ u(t) =mu(S(t)) +u(t)
2, MS-VAR(_p) - General model : y(t)=[1 yt-1,..yt-p]*Beta_S(t) +u(t) =x(t).Beta(S(t))+ u(t)
3, MS-VAR(_p) - Switch Intercept model : y(t)= mu(S(t)) + [ yt-1,..yt-p]*Delta(t) +u(t) = 1.*Beta_S(t)+z(t).Delta(t)+ u(t)
4, MS-OLS Mix model : y(t)=x(t)*Beta_S(t) +z(t)*Delta+u(t), 5, MS-OLS General model : y(t)=x(t)*Beta_S(t) +u(t)
[em04][em04]
不知道是否可以解决你的问题。
我这里只是抛砖引玉,希望高手多针对MSVAR研究
另外JOURNAL OF APPLIED ECONOMETRICS 有几篇MSVAR敬请参考
J. Appl. Econ. 20: 253–274 (2005) Published online in Wiley InterScience (www.interscience.wiley.com). DOI: 10.1002/jae.845 HOW WELL DO MARKOV SWITCHING MODELS DESCRIBE ACTUAL BUSINESS CYCLES? THE CASE OF SYNCHRONIZATION PENELOPE A. SMITH* AND PETER M. SUMMERS Melbourne Institute, The University of Melbourne, Australia
另外EVIEWS编程也可以使用
这些需要自己研究了,哈哈哈。