1.请注意短信息
请将文件放在正确路径:
C:\Program Files\Ox\packages\MSVAR\HAMILTON.OX
\GNP82.xls
\msvar130.oxo
......
......
2.add MSVAR package in GiveWin2
start GiveWin2:
Modules \Start OxPAck
in the OxPack window:
Add/Remove PAckages\Browse\
Go to C:\Program Files\Ox\packages\msvar and choos msvar130.oxo
"Package class name (case must match exactly): change Msvar130 to MSVAR
you see MSVAR under Packeges
3. run HAMILTON.OX
in GiveWin2 window
open C:\Program Files\...\HAMILTON.OX
Modules \Start OxRun
/************************
************************/
Ox version 3.40 (Windows) (C) J.A. Doornik, 1994-2004
MSVAR (c) H-M Krolzig, 1996-2005, package version 1.32a, object created on 1-10-2003
---------- EM algorithm converged after 43 iterations ------------
EQ( 1) MSM(2)-AR(4) model of DUSGNP
Estimation sample: 1952 (2) - 1984 (4)
no. obs. per eq. : 131 in the system : 131
no. parameters : 9 linear system : 6
no. restrictions : 1
no. nuisance p. : 2
log-likelihood : -181.4236 linear system : -183.6692
AIC criterion : 2.9072 linear system : 2.8957
HQ criterion : 2.9875 linear system : 2.9492
SC criterion : 3.1048 linear system : 3.0274
LR linearity test: 4.4911 Chi(1) =[0.0341] * Chi(3)=[0.2131] DAVIES=[0.2131]
---------- matrix of transition probabilities ------
Regime 1 Regime 2
Regime 1 0.7620 0.2380
Regime 2 0.0986 0.9014
---------- regime properties ----------------------
nObs Prob. Duration
Regime 1 38.5 0.2929 4.20
Regime 2 92.5 0.7071 10.14
---------- coefficients ----------------------------
Coef StdError t-val
Mean (Reg.1) -0.3403 0.2441 -1.3940
Mean (Reg.2) 1.1727 0.1423 8.2395
DUSGNP_1 0.0108 0.0895 0.1203
DUSGNP_2 -0.0627 0.0811 -0.7731
DUSGNP_3 -0.2462 0.0859 -2.8669
DUSGNP_4 -0.2009 0.0867 -2.3170
Standard error 0.76987
---------------------------
这个例子MSM(2)-AR(4) model的结果
跟在winrats是接近的
MAXIMIZE - Estimation by BFGS
Convergence in 33 Iterations. Final criterion was 0.0000077 <= 0.0000100
Quarterly Data From 1952:02 To 1984:04
Usable Observations 131
Function Value -181.2634
Variable Coeff Std Error T-Stat Signif
************************************************************************************
1. MU(1)(1) 1.163516284 0.074908621 15.53248 0.00000000
2. MU(2)(1) -0.358817491 0.268297584 -1.33739 0.18109660
3. PHI(1)(1,1) 0.013485547 0.124157302 0.10862 0.91350658
4. PHI(2)(1,1) -0.057524674 0.136019028 -0.42292 0.67235628
5. PHI(3)(1,1) -0.246984366 0.110325418 -2.23869 0.02517612
6. PHI(4)(1,1) -0.212921583 0.105591977 -2.01646 0.04375231
7. SIGMA(1,1) 0.591366786 0.106496665 5.55291 0.00000003
8. P(1,1) 0.904084488 0.037787519 23.92548 0.00000000
9. P(1,2) 0.245329958 0.094997335 2.58249 0.00980893
---------------
4.如果嫌调整时间不方便
你也可以使用:
MSVARlib Version 2.0 - For Gauss users
MSVARlib is a new open source Gauss library to estimate Multivariate Markov-Switching
regression Models in their most generic specification. These new programs are based
upon the works of Hamilton (1994) and Krolzig (1998) and allow assessment of models
with M states through classical optimization of the maximum likelihood method
http://bellone.ensae.net/MSVARlib.html
这是引用epoh大神的,你看看有用么
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