请问各位大神,在论坛里下了一个MATLAB 的msvar包,运行结果如下:
***** Final Parameters for Equation #1 *****
Dependent Variable #1 - Parameter Value (Standard Error, p value)
State 1, Lag 1 = -0.01 (0.06,0.82)
State 2, Lag 1 = 0.01 (0.06,0.82)
Dependent Variable #2 - Parameter Value (Standard Error, p value)
State 1, Lag 1 = 0.07 (0.05,0.13)
State 2, Lag 1 = 0.22 (0.06,0.00)
***** Final Parameters for Equation #2 *****
Dependent Variable #1 - Parameter Value (Standard Error, p value)
State 1, Lag 1 = -0.08 (0.05,0.11)
State 2, Lag 1 = 0.00 (0.00,0.78)
Dependent Variable #2 - Parameter Value (Standard Error, p value)
State 1, Lag 1 = 0.15 (0.05,0.00)
State 2, Lag 1 = -0.01 (0.02,0.74)
---> Transition Probabilities Matrix (std. error, p-value) <---
0.98 (0.17,0.00) 0.05 (0.22,0.83)
0.02 ( NaN, NaN) 0.95 ( NaN, NaN)
---> Expected Duration of Regimes <---
Expected duration of Regime #1: 43.42 time periods
Expected duration of Regime #2: 21.23 time periods
---> Covariance Matrix <---
State 1
0.00039 (0.00003,0.00) 0.00000 ( NaN, NaN)
0.00000 ( NaN, NaN) 0.00046 (0.00003,0.00)
State 2
0.00126 (0.00012,0.00) 0.00000 ( NaN, NaN)
0.00000 ( NaN, NaN) 0.00147 (0.00014,0.00)
这个结果能帮忙解读一下嘛?
好像没有条件均值μ和脉冲响应图,不知道应该加什么代码让其显示出来?
菜鸟一枚,江湖救急!
谢!!!!