User’s Guide : Advanced Single Equation Analysis : Switching Regression : Switching Procs
  
Switching Procs
 
Forecasting
Make Regime Results
Transition Results
Regime Probabilities
EViews offers several procs for working with switching equations. Most of these procs are self-explanatory, but we offer brief comments about forecasting and saving regime results to the workfile.
Forecasting
The forecasting procedure follows Davidson (2004) in employing the one-step or -step ahead regime probabilities to compute the expected forecasted value.
To forecast from an estimated equation, click on the Forecast button on the equation toolbar or select Proc/Forecast... from the menu.
EViews will display the standard forecast dialog allowing you to specify a forecast sample and output series, to select between dynamic and static forecasting, to choose whether to include AR terms, and whether to display a forecast graph and forecast evaluation.
In standard settings, dynamic and static forecasting differ principally their handling of lagged dependent variables, with dynamic forecasts using lagged predicted values as regressors where appropriate, while static forecasts use only actual lagged values.
In a switching regression setting, dynamic and static forecasting methods also differ in the construction of regime probabilities. The static forecasts use the observed dependent variable, if available, to filter the regime probabilities in preparation for the next forecast period. Dynamic forecasts do not use the available data to filter the probabilities.
Make Regime Results
The Make Regime Results submenu offers routines for saving transition matrix results and predicted regime probabilities into series and matrices in the workfile.
Transition Results
To save transition probability or expected duration results in the workfile click on Proc/Make Regime Results/Make Transition Results...
In addition to prompting you to choose between saving the Transition probabilities or the Expected durations, you must select an output format. By default, EViews will save the results in a group of series in the workfile. The series names will be formed using the base name specified in the edit field, as in “TPROB12”, “TPROB22”, etc. for transitions, and “TPROB1”, “TPROB2”, etc. for expected durations.
You may instead elect to save the results in a matrix. In this case, EViews will prompt you for the name of the matrix and for an observation at which to evaluate the transition matrix or expected duration. By default, the dialog will be filled with the first observation in the estimation sample.
Regime Probabilities
To save the regime probabilities, select Proc/Make Regime Results/Make Regime Probabilities Group...
Select the type of probability you wish to compute (One-step-ahead, Filtered, or Smoothed), and enter the names of series to hold the results, one for each probability you wish to retain.