summarize
Summarize Markov-switching dynamic regression model estimation results
Since R2021b
Description
summarize(
displays a summary of the
Markov-switching dynamic regression model Mdl
)Mdl
.
If
Mdl
is an estimated model returned byestimate
, thensummarize
displays estimation results to the MATLAB® Command Window. The display includes:A model description
Estimated transition probabilities
Fit statistics, which include the effective sample size, number of estimated submodel parameters and constraints, loglikelihood, and information criteria (AIC and BIC)
A table of submodel estimates and inferences, which includes coefficient estimates with standard errors, t-statistics, and p-values.
If
Mdl
is an unestimated Markov-switching model returned bymsVAR
,summarize
prints the standard object display (the same display thatmsVAR
prints during model creation).
returns
one of the following variables and does not print to the Command Window.results
= summarize(___)
If
Mdl
is an estimated Markov-switching model,results
is a table containing the submodel estimates and inferences.If
Mdl
is an unestimated model,results
is anmsVAR
object that is equal toMdl
.
Examples
Input Arguments
Output Arguments
Algorithms
estimate
implements
a version of Hamilton's Expectation-Maximization (EM) algorithm, as described in [3]. The standard errors, loglikelihood, and
information criteria are conditional on optimal parameter values in the estimated transition
matrix Mdl.Switch
. In particular, standard errors do not account for
variation in estimated transition probabilities.
References
[2] Hamilton, J. D. "Analysis of Time Series Subject to Changes in Regime." Journal of Econometrics. Vol. 45, 1990, pp. 39–70.
[3] Hamilton, James D. Time Series Analysis. Princeton, NJ: Princeton University Press, 1994.
[4] Hamilton, J. D. "Macroeconomic Regimes and Regime Shifts." In Handbook of Macroeconomics. (H. Uhlig and J. Taylor, eds.). Amsterdam: Elsevier, 2016.
Version History
Introduced in R2021b