Markov Regime Switching Regression Using Eviews

Markov Regime Switching Regression Using Eviews is our another intro tutorial in Applied Econometrics course. Note, Linear regression is one of the primary tools for econometric and statistical analysis. There is, however, considerable evidence that nonlinear modeling is sometimes appropriate, especially in the analysis of macroeconomic relationships that are subject to regime change.
We describe here EViews tools for switching regression models—linear regression models with nonlinearities arising from discrete changes in regime. We consider settings with both independent and Markov switching where the sample separation into regimes is not observed. Dynamics specifications are permitted through the use of lagged dependent variables as explanatory variables and through the presence of auto-correlated errors.
While this chapter focuses only on models where the regimes are unobserved, related models with observed regimes are discussed in the Heckman chapter. (Eviews Manual) Providing private online courses in Econometrics Research using Stata, Eviews, R and Minitab. These short tutorials are part of the lessons which we edit to silence and share with our audience for free. The original videos containd discussions and questions answers between students and instructors of the course in Econometrics and Stata or Eviews. Enroll for a private online course towards your PhD research in Economics or Finance.