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From: Murphy Choy on 22 Jan 2010 07:28
Hi,

Are you refering to markov chains?

------Original Message------
From: priyanka singh
Sender: SAS(r) Discussion
To: SAS-L(a)LISTSERV.UGA.EDU
ReplyTo: priyanka singh
Subject: Markov Switching Models
Sent: Jan 22, 2010 7:57 PM

How to run Markov Switching Models in SAS


Thanks & Regards,

Priyanka


Sent from my BlackBerry Wireless Handheld

--
Regards,
Murphy Choy

Certified Advanced Programmer for SAS V9
Certified Basic Programmer for SAS V9
From: oloolo on 22 Jan 2010 10:54
for the simplest markov switching model, check PROC MODEL
examples "Switching Regression" which is originated from Goldfed and
Quandt, the simplest form of linear normal markov switching model

If in GLM framework, put lag of dependent variables will also form a markov
switching model. Check Chapter 11. of Categorical Data Analysis by A.
Agresti

On Fri, 22 Jan 2010 07:57:22 -0400, priyanka singh
<priyanka.priyankasingh(a)GMAIL.COM> wrote:

>How to run Markov Switching Models in SAS
>
>
>Thanks & Regards,
>
>Priyanka
From: priyanka singh on 23 Jan 2010 01:15
Yes, markov chains but with switching regimes..
i hv a long period data and so want to decipher the structural breaks or
diff. regimes in the data set.

On Fri, Jan 22, 2010 at 8:28 AM, Murphy Choy <goladin(a)gmail.com> wrote:

> Hi,
>
> Are you refering to markov chains?
>
> ------Original Message------
> From: priyanka singh
> Sender: SAS(r) Discussion
> To: SAS-L(a)LISTSERV.UGA.EDU
> ReplyTo: priyanka singh
> Subject: Markov Switching Models
> Sent: Jan 22, 2010 7:57 PM
>
> How to run Markov Switching Models in SAS
>
>
> Thanks & Regards,
>
> Priyanka
>
>
> Sent from my BlackBerry Wireless Handheld
>
> --
> Regards,
> Murphy Choy
>
> Certified Advanced Programmer for SAS V9
> Certified Basic Programmer for SAS V9
>
>
From: priyanka singh on 23 Jan 2010 01:20
Thank you.

On Fri, Jan 22, 2010 at 11:54 AM, oloolo <dynamicpanel(a)yahoo.com> wrote:

> for the simplest markov switching model, check PROC MODEL
> examples "Switching Regression" which is originated from Goldfed and
> Quandt, the simplest form of linear normal markov switching model
>
> If in GLM framework, put lag of dependent variables will also form a markov
> switching model. Check Chapter 11. of Categorical Data Analysis by A.
> Agresti
>
> On Fri, 22 Jan 2010 07:57:22 -0400, priyanka singh
> <priyanka.priyankasingh(a)GMAIL.COM> wrote:
>
> >How to run Markov Switching Models in SAS
> >
> >
> >Thanks & Regards,
> >
> >Priyanka
>
From: Murphy Choy on 23 Jan 2010 01:55
Hi,

Sorry for my question. I was just trying to understand the background.

I have to admit that I have very little experience in this model and thus, I will just inform you about the sources to look for more information.

Base on your description, I would like to think that the model in question here is called markov switching multifractal. If this is the model, I would believe that you can implement the model through the use of either state space models or arima. Proc arima and ssm would be the better starting point for you to form the model appropriately for your use. At the same time, you are supposed to generate 2 distribution based on the transitional states. Not too sure if this is correct for this but I believe that you can achieve the result using gibbs sampling under proc mcmc.

I do not profess to be an expert in this matter but based on my understanding from the theory, this is what I would suggest. As oloolo suggested as well, you might want to look at proc model as well which is part of ets.

------Original Message------
From: priyanka singh
Sender: SAS(r) Discussion
To: SAS-L(a)LISTSERV.UGA.EDU
ReplyTo: priyanka singh
Subject: Re: Markov Switching Models
Sent: Jan 23, 2010 2:15 PM

Yes, markov chains but with switching regimes..
i hv a long period data and so want to decipher the structural breaks or
diff. regimes in the data set.

On Fri, Jan 22, 2010 at 8:28 AM, Murphy Choy <goladin(a)gmail.com> wrote:

> Hi,
>
> Are you refering to markov chains?
>
> ------Original Message------
> From: priyanka singh
> Sender: SAS(r) Discussion
> To: SAS-L(a)LISTSERV.UGA.EDU
> ReplyTo: priyanka singh
> Subject: Markov Switching Models
> Sent: Jan 22, 2010 7:57 PM
>
> How to run Markov Switching Models in SAS
>
>
> Thanks & Regards,
>
> Priyanka
>
>
> Sent from my BlackBerry Wireless Handheld
>
> --
> Regards,
> Murphy Choy
>
> Certified Advanced Programmer for SAS V9
> Certified Basic Programmer for SAS V9
>
>


Sent from my BlackBerry Wireless Handheld

--
Regards,
Murphy Choy

Certified Advanced Programmer for SAS V9
Certified Basic Programmer for SAS V9
 | 
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