[Scilab-users] Grocer - Markov Switching model estimation
Hello everyone, I try to estimate a MS with Grocer . I have *annual data*. I
have read the chapter 23 (manual), where I found an perfect example for
quartely data. Even though, I have alredy a doubt.
The chapter 23 gives us an example to etimate a MS-AR(3). The specification
is the following:
r=ms_reg('100*(lpbi-lagts(2,lpbi))',['100*(lagts(1,lpbi)-lagts(3,lpbi))';...
--'100*(lagts(2,lpbi)-lagts(4,lpbi))';'100*(lagts(3,lpbi)-lagts(5,lpbi))'],'cte',nb_states,switch_var,var_opt,'transf=stud',...
--'prt=initial;final')
So, the question is: How should I modify that expression in order to
estimate a MS-AR(1) with anual data?
Thanks in advance
Cristian
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Re: [Scilab-users] Grocer / Markov Switching Model
Thank you Éric! Tha last consulting: Could you give me a example (or routine) to load my data (the first mail)? Best Regards Eric Doblas -- View this message in context: http://mailinglists.scilab.org/Grocer-Markov-Switching-Model-tp4025635p4025653.html Sent from the Scilab users - Mailing Lists Archives mailing list archive at Nabble.com. ___ users mailing list users@lists.scilab.org http://lists.scilab.org/mailman/listinfo/users
Re: [Scilab-users] Grocer / Markov Switching Model
Hello Éric, I need only one step, because I was able to replicate your example. I can load the data: Dates;LnPBI 1993q1;12,2847456986185 1993q2;12,3961633542544 1993q3;12,3993569016157 .. so on. Then, I used impexc2bd, and after that, I loaded .dat file. But, I can´t run LnPBI. Thank you! Eric -- View this message in context: http://mailinglists.scilab.org/Grocer-Markov-Switching-Model-tp4025635p4025656.html Sent from the Scilab users - Mailing Lists Archives mailing list archive at Nabble.com. ___ users mailing list users@lists.scilab.org http://lists.scilab.org/mailman/listinfo/users
Re: [Scilab-users] Grocer / Markov Switching Model
What if you change the comma in your file into a dot (the dot is the decimal separator in Scilab)? Éric. PS: 1) if you use the file I have sent to you, then LPIB is equivalent to LnPBI you want to load into Scilab 2) and log(GDP) too! 2013/1/11 ericdoblas ericdoblasargent...@yahoo.com.ar Hello Éric, I need only one step, because I was able to replicate your example. I can load the data: Dates;LnPBI 1993q1;12,2847456986185 1993q2;12,3961633542544 1993q3;12,3993569016157 .. so on. Then, I used impexc2bd, and after that, I loaded .dat file. But, I can´t run LnPBI. Thank you! Eric -- View this message in context: http://mailinglists.scilab.org/Grocer-Markov-Switching-Model-tp4025635p4025656.html Sent from the Scilab users - Mailing Lists Archives mailing list archive at Nabble.com. ___ users mailing list users@lists.scilab.org http://lists.scilab.org/mailman/listinfo/users ___ users mailing list users@lists.scilab.org http://lists.scilab.org/mailman/listinfo/users
Re: [Scilab-users] Grocer / Markov Switching Model
Dear Éric,
I appreciate your great help.
I can load the data!!
I just need the last step. When I run
r=ms_reg('100*lpbi-lagts(2,lpbi))','['100*(lagts(1,lpbi)-lagts(3,lpbi))';'100*(lagts(2,lpbi)-lagts(4,lpbi))';'100*(lagts(3,lpbi)-lagts(5,lpbi))'],'cte',nb_states,switch_var,var_opt,'transf=stud','prt=initial;final')
I have
!--error 276
Falta operador, coma o punto y coma. (English: missing operator, comma or
dot and comma)
Thank you!
Best regards
Eric
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Re: [Scilab-users] Grocer / Markov Switching Model
Dear Éric, I can solve all Thank you so much for your help, and thank you for Grocer!!! It´s a fantastic toolbox!! Best regards from Argentina Eric Doblas -- View this message in context: http://mailinglists.scilab.org/Grocer-Markov-Switching-Model-tp4025635p4025666.html Sent from the Scilab users - Mailing Lists Archives mailing list archive at Nabble.com. ___ users mailing list users@lists.scilab.org http://lists.scilab.org/mailman/listinfo/users
Re: [Scilab-users] Grocer / Markov Switching Model
Thank you very much Éric!! Best regards Eric -- View this message in context: http://mailinglists.scilab.org/Grocer-Markov-Switching-Model-tp4025635p4025675.html Sent from the Scilab users - Mailing Lists Archives mailing list archive at Nabble.com. ___ users mailing list users@lists.scilab.org http://lists.scilab.org/mailman/listinfo/users
[Scilab-users] Grocer / Markov Switching Model
Hello all, I am using Markov Switching Model (MSM) to detect turning points. I can´t use Bry Boschan or Harding Pagan. I must use MSM. I don´t understand the manual´s instructions for Grocer. Specifically, I don´t understand all steps of the routine on grocer. So, I need a routine for MSM on Grocer. Thank you very much who can help me Eric Doblas Argentina This is the data: DateGDP LGDP I 93216370,1113 12,2847457 II 93 241871,8584 12,39616335 III 93 242645,5224 12,3993569 IV 93 245132,4288 12,40955387 I 94232945,3257 12,35855905 II 94 257476,8946 12,45868527 III 94 253467,7781 12,44299199 IV 94 257341,5437 12,45815945 I 95237968,1031 12,37989192 II 95 248093,6393 12,42156153 III 95 242214,6991 12,3975798 IV 95 244467,9646 12,40683956 I 96236566,0366 12,37398267 II 96 260751,9252 12,47132476 III 96 262166,9638 12,47673685 IV 96 267020,0467 12,49507902 I 97256387,8567 12,45444664 II 97 281769,8008 12,54884571 III 97 284092,2675 12,55705435 IV 97 287515,3456 12,56903151 I 98271702,3677 12,51246251 II 98 301207,5978 12,61 III 98 293315,4036 12,58900377 IV 98 286267,8493 12,56468319 I 99265024,6359 12,48757807 II 99 286412,3269 12,56518775 III 99 278472,6935 12,53707528 IV 99 283566,3992 12,55520159 I 00264555,9181 12,48580792 II 00 285275,1759 12,56120952 III 00 276767,971 12,53093478 IV 00 278091,6764 12,53570611 I 01259199,8739 12,46535476 II 01 284795,7629 12,55952758 III 01 263126,5054 12,4803902 IV 01 248864,5552 12,42466407 I 02216849,495 12,28695882 II 02 246314,6332 12,41436499 III 02 237416,8668 12,37757281 IV 02 240361,3921 12,38989887 I 03228595,8824 12,33971102 II 03 265402,4777 12,48900274 III 03 261534,5226 12,47432157 IV 03 268560,9668 12,50083323 I 04254330,4234 12,44638958 II 04 284375,6106 12,55805122 III 04 284392,0599 12,55810906 IV 04 293467,0606 12,58952068 I 05274594,5026 12,52305075 II 05 313927,2903 12,65691668 III 05 310593,0805 12,64623891 IV 05 319939,2408 12,67588638 I 06298695,5617 12,60718015 II 06 338243,7275 12,731522 III 06 337741,8852 12,73003723 IV 06 347578,7074 12,75874641 I 07322448,8712 12,68369986 II 07 367492,3517 12,81445779 III 07 367538,7276 12,81458397 IV 07 379199,6613 12,84581816 I 08349945,3229 12,7655322 II 08 396227,2401 12,88974316 III 08 393039,23 12,88166471 IV 08 394564,9401 12,88553902 I 09357096,4155 12,7857611 II 09 393181,2789 12,88202605 III 09 391678,8883 12,87819762 IV 09 404860,9562 12,91129897 I 10381221,6341 12,8511362 II 10 439766,5937 12,9939994 III 10 425323,1724 12,96060456 IV 10 442208,8085 12,99953747 I 11419023,1666 12,94568149 II 11 479963,6782 13,08146571 III 11 464882,753 13,04954051 IV 11 474414,821 13,06983737 I 12440884,2806 12,99653772 -- View this message in context: http://mailinglists.scilab.org/Grocer-Markov-Switching-Model-tp4025635.html Sent from the Scilab users - Mailing Lists Archives mailing list archive at Nabble.com. ___ users mailing list users@lists.scilab.org http://lists.scilab.org/mailman/listinfo/users
Re: [Scilab-users] Grocer / Markov Switching Model
Dear Éric, Thank you for your answer. Specifically, I need estimate a MSM as in Hamilton (1989), as follows: (page 7). Thank you very much! Greetings from Argentina! Eric Doblas http://www.hnb.hr/publikac/istrazivanja/w-029.pdf -- View this message in context: http://mailinglists.scilab.org/Grocer-Markov-Switching-Model-tp4025635p4025642.html Sent from the Scilab users - Mailing Lists Archives mailing list archive at Nabble.com. ___ users mailing list users@lists.scilab.org http://lists.scilab.org/mailman/listinfo/users
Re: [Scilab-users] Grocer / Markov Switching Model
Sorry, but maybe you could be a little bit more explicit: I have not the paper immediately available and Hamilton (1989) page 7 does not as such speak very much... Éric. 2013/1/10 ericdoblas ericdoblasargent...@yahoo.com.ar Dear Éric, Thank you for your answer. Specifically, I need estimate a MSM as in Hamilton (1989), as follows: (page 7). Thank you very much! Greetings from Argentina! Eric Doblas http://www.hnb.hr/publikac/istrazivanja/w-029.pdf -- View this message in context: http://mailinglists.scilab.org/Grocer-Markov-Switching-Model-tp4025635p4025642.html Sent from the Scilab users - Mailing Lists Archives mailing list archive at Nabble.com. ___ users mailing list users@lists.scilab.org http://lists.scilab.org/mailman/listinfo/users ___ users mailing list users@lists.scilab.org http://lists.scilab.org/mailman/listinfo/users
Re: [Scilab-users] Grocer / Markov Switching Model
Dear Eric. I have done my best to make Grocer ms programs use easy (help files, manual and demos: did you have a look at the ms_reg_d.sci, ms_var_d.sci demos?). So tell me what you do not understand? Éric. 2013/1/10 ericdoblas ericdoblasargent...@yahoo.com.ar That´s ok Éric. Thank you! I will try to be more specific. In the chapter 23 (Grocer´s Manual) you wrote about MSM. I need estimate the most general model (ms_reg) and the two particulars cases: ms_mean and ms_var, for data sent in the first mail... Excuse me if the consultation is very elemental, but recently I am starting with Grocer MSM. I think that is a excellent tool for Scilab. Rigth now, I am investing time to learn . Thank you very much! Eric Doblas CONICET - Argentina -- View this message in context: http://mailinglists.scilab.org/Grocer-Markov-Switching-Model-tp4025635p4025645.html Sent from the Scilab users - Mailing Lists Archives mailing list archive at Nabble.com. ___ users mailing list users@lists.scilab.org http://lists.scilab.org/mailman/listinfo/users ___ users mailing list users@lists.scilab.org http://lists.scilab.org/mailman/listinfo/users
Re: [Scilab-users] Grocer / Markov Switching Model
Dear Éric, Thank you so much! Any doubts, I will write again. Best regards Eric Doblas -- View this message in context: http://mailinglists.scilab.org/Grocer-Markov-Switching-Model-tp4025635p4025647.html Sent from the Scilab users - Mailing Lists Archives mailing list archive at Nabble.com. ___ users mailing list users@lists.scilab.org http://lists.scilab.org/mailman/listinfo/users
Re: [Scilab-users] Grocer / Markov Switching Model
function r=ms_reg_d()
global GROCERDIR;
// demo of ms_reg
I sorry Éric, this is the routine.
How I can conditioning the var-cov matrix??
Thank you!!
Eric
load(GROCERDIR+'\data\us_revu.dat')
bounds('1967m4','2004m2')
nb_states=2
switch_var=2 // variances are switching
var_opt=3 // unrestricted var-cov matrix
r=ms_reg('100*(log(us_revu)-lagts(2,log(us_revu)))',['100*(lagts(1,log(us_revu))-lagts(3,log(us_revu)))';...
'100*(lagts(2,log(us_revu))-lagts(4,log(us_revu)))';'100*(lagts(3,log(us_revu))-lagts(5,log(us_revu)))'],'cte',nb_states,switch_var,var_opt,'transf=stud',...
'prt=initial;final')
endfunction
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