Lastly, we display the filtered and full sample estimates of the probabilities of being in the two regimes. First select View/Regime Results/Regime Probabilities... and choose the filtered results. We will display the results only for the second regime. Then repeat the procedure choosing the smoothed results.
最后我们估计两个状态(regimes)的滤波(filtered)概率估计与平滑概率。
并加载一个 RecShade包(适用于美国或日本的衰退阴影图对象。)可以发现,与经济周期恰好吻合。
二、时变转换(TIME-VARYING TRANSITIONS)
Kim and Nelson (1999, p. 93) 提供了一个利用时变转换概率的MSAR(4)模型,用Filardo模型的工业产值的对数增长率,做了MSAR(4)平均转换的模式。使用了作为经济周期预测的十一个指标的复合型的对数增长率。