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pltms_prob

plots smoothed or filtered probabilities of a Markov switching regression

CALLING SEQUENCE

pltms_prob(res)

PARAMETERS

Input

* res = the results typed list of a Markov switching regression

 

Output

* nothing (printed on a graphic window)

DESCRIPTION

Plots the filtered or smoothed probabilities of a Markov switching regression.

EXAMPLE

load(GROCERDIR+'\data\us_revu.dat')
 
bounds('1967m4','2004m2')
 
nb_states=2
switch_var=2 // variances are switching
var_opt=3 // unrestricted var-cov matrix
 
res=ms_reg('100*(log(us_revu)-lagts(2,log(us_revu)))',['100*(lagts(1,log(us_revu))-lagts(3,log(us_revu)))';...
'100*(lagts(2,log(us_revu))-lagts(4,log(us_revu)))';'100*(lagts(3,log(us_revu))-lagts(5,log(us_revu)))'],'cte',nb_states,switch_var,var_opt,'transf=stud',...
'noprint')
 
// now plot the filtered probabilities
pltms_prob(res,'filtered')

AUTHOR

Eric Dubois 2006

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