如何确定markov switching model中regime的个数？

希望大家多指点，谢谢

另外，如何确定滞后阶数lag。是根据什么来确定

有没有简单的方法，谢谢

Ox is difficult to find No.of regime

您现在还能提供stamp软件吗？大慈大悲呀。

非常感谢大家的帮助。。。真正头疼要怎么处理regimes呢。。。

各位童鞋，如下文献可以考虑：

Hansen, B. E. (1992) The likelihood ratio test under nonstandard conditions: testing the Markovswitching
model of GNP. Journal of Applied Econometrics 7, S61–S82.

Hamilton, J. D. (1996) Specification testing in Markov-switching time-series models. Journal of
Econometrics 70, 127–57.

Zhang,J. and R.A. Stine (2001) Autocovariance structure of Markov regime switching models and model selection. Journal of Time Series Analysis, 22, 107-124.

Smith, A. et al (2006) Markov-switching model selection using Kullback-Leibler divergence. Journal of Econometrics, 134, 553-577.

Smith,D.R. (2008) Specification tests for Markov-switching time-series models. Journal of Time Series Analysis, 29, 629-652.

另，Matlab 也可以估算 Markov regime switching 模型。

各位童鞋，如下文献可以考虑：

Hansen, B. E. (1992) The likelihood ratio test under nonstandard conditions: testing the Markovswitching
model of GNP. Journal of Applied Econometrics 7, S61–S82.

Hamilton, J. D. (1996) Specification testing in Markov-switching time-series models. Journal of
Econometrics 70, 127–57.

Zhang,J. and R.A. Stine (2001) Autocovariance structure of Markov regime switching models and model selection. Journal of Time Series Analysis, 22, 107-124.

Smith, A. et al (2006) Markov-switching model selection using Kullback-Leibler divergence. Journal of Econometrics, 134, 553-577.

Smith,D.R. (2008) Specification tests for Markov-switching time-series models. Journal of Time Series Analysis, 29, 629-652.

另，Matlab 也可以估算 Markov regime switching 模型。