A two regime Markov switching mannequin for the log of M2 velocity, 1959-2022, as prompt by Rick Stryker:
And listed here are the regime possibilities, smoothed, filtered.
Right here’s the fitted values towards precise, and the residual.
I received’t declare I’ve accomplished any rigorous robustness checks, or that these outcomes are consultant. The information and software program can be found so one can consider how properly a two regime Markov switching mannequin does for (log) velocity. For me, it’s not nice, in all probability not notably helpful for policymaking.
Except for this specification being in logs, I don’t suppose these outcomes differ substantively from reader AS‘s.
If Steven Kopits meant reversion to the excessive velocity imply was imminent, properly we haven’t seen it it. If he implies that there’s a 3rd regime, properly, we’re at the moment into a 3rd, lowest imply – not an intermediate imply – regime, in keeping with a 3 regime MS mannequin.
Replace, 1pm Pacific:
Rick Stryker says this ought to be estimated in log first variations.
Give these regime possibilities.
A two regime mannequin says the imply of first variations is already at the moment in a excessive development mode. Notice a primary variations specification although implies no reversion to deterministic development for that regime…
A two regime Markov switching mannequin for the log of M2 velocity, 1959-2022, as prompt by Rick Stryker:
And listed here are the regime possibilities, smoothed, filtered.
Right here’s the fitted values towards precise, and the residual.
I received’t declare I’ve accomplished any rigorous robustness checks, or that these outcomes are consultant. The information and software program can be found so one can consider how properly a two regime Markov switching mannequin does for (log) velocity. For me, it’s not nice, in all probability not notably helpful for policymaking.
Except for this specification being in logs, I don’t suppose these outcomes differ substantively from reader AS‘s.
If Steven Kopits meant reversion to the excessive velocity imply was imminent, properly we haven’t seen it it. If he implies that there’s a 3rd regime, properly, we’re at the moment into a 3rd, lowest imply – not an intermediate imply – regime, in keeping with a 3 regime MS mannequin.
Replace, 1pm Pacific:
Rick Stryker says this ought to be estimated in log first variations.
Give these regime possibilities.
A two regime mannequin says the imply of first variations is already at the moment in a excessive development mode. Notice a primary variations specification although implies no reversion to deterministic development for that regime…