Hello everyone,
I need help to check out of sample, a markov switch model that I estimated.
Markov-switching dynamic regression
Sample: 1 - 3000 No. of obs = 3,000
Number of states = 2 AIC = -3.5325
Unconditional probabilities: transition HQIC = -3.5282
SBIC = -3.5205
Log likelihood = 5304.716
------------------------------------------------------------------------------
B | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
State1 |
_cons | .0536254 .0005334 100.54 0.000 .05258 .0546707
-------------+----------------------------------------------------------------
State2 |
_cons | .1901039 .003082 61.68 0.000 .1840632 .1961446
-------------+----------------------------------------------------------------
sigma1 | .0208053 .0003912 .0200525 .0215863
-------------+----------------------------------------------------------------
sigma2 | .100986 .002102 .0969491 .105191
-------------+----------------------------------------------------------------
p11 | .9836962 .0029618 .9767509 .9885909
-------------+----------------------------------------------------------------
p21 | .0266072 .0047537 .0187185 .0376927
I need to estimate the smoothed probabilities of this model and not the fitted series of this model.
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