如何确定markov switching model中regime的个数？

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采用AIC,BIC可以吗，还有什么别的办法

用什么软件可以自动处理呢

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关键词：switching Markov regime switch Ching model Markov regime switching

markov switching model 也在做么，我也在做，程序都要自己写，真麻烦了

我的信箱，scienartist◎sina。com。cn

是采用什么算法，或是标准。

有的文献上采用DBS方法，奇怪

it is easy to do markovswitching using MSVAR for OX,easy to download and friendly in using.Try to find through Google

(1) Markov-switching criterion, UC- Davis working paper 2005;

(2) Markov-switching specification tests , Hamilton 1996;

(3)tests using nonparametric methods, Breunig and Pagan 2004;

(4) specification tests, Breunig, Najarian and Pagan 2003;

(5) Garcia 1998;

among many others

以下是引用zhangbing在2005-9-4 12:43:41的发言： it is easy to do markovswitching using MSVAR for OX,easy to download and friendly in using.Try to find through Google

very wondelful software for econometrics

but how to determine the regimes,should we test every n of regimes from 1 to 12

thanks a lot

另外有中文的资料可以参考吗。

How to determine the number of regimes, please refer to my last reply to this post in the 5th level, here I paste it once again:

(1) Markov-switching criterion, UC- Davis working paper 2005; (2) Markov-switching specification tests , Hamilton 1996; (3)tests using nonparametric methods, Breunig and Pagan 2004; (4) specification tests, Breunig, Najarian and Pagan 2003; (5) Garcia 1998; among many others

actually, except the formal statistics, say MSC(markov-switching criterion), we shall also consider the reality in economic sense, from the perspctive of practice, the late factor is more important.

以下是引用oldman在2005-9-5 10:30:38的发言：

How to determine the number of regimes, please refer to my last reply to this post in the 5th level, here I paste it once again:

(1) Markov-switching criterion, UC- Davis working paper 2005; (2) Markov-switching specification tests , Hamilton 1996; (3)tests using nonparametric methods, Breunig and Pagan 2004; (4) specification tests, Breunig, Najarian and Pagan 2003; (5) Garcia 1998; among many others

actually, except the formal statistics, say MSC(markov-switching criterion), we shall also consider the reality in economic sense, from the perspctive of practice, the late factor is more important.

agree with you,[em01][em01] the reality in economic sense is more important.

Markov-switching criterion, UC- Davis working paper 2005;

wonderful paper