statsmodels.tsa.regime_switching.markov_regression.MarkovRegression¶
-
class
statsmodels.tsa.regime_switching.markov_regression.
MarkovRegression
(endog, k_regimes, trend='c', exog=None, order=0, exog_tvtp=None, switching_trend=True, switching_exog=True, switching_variance=False, dates=None, freq=None, missing='none')[source]¶ First-order k-regime Markov switching regression model
- Parameters
- endogarray_like
The endogenous variable.
- k_regimes
int
The number of regimes.
- trend{‘nc’, ‘c’, ‘t’, ‘ct’}
Whether or not to include a trend. To include an intercept, time trend, or both, set trend=’c’, trend=’t’, or trend=’ct’. For no trend, set trend=’nc’. Default is an intercept.
- exogarray_like,
optional
Array of exogenous regressors, shaped nobs x k.
- order
int
,optional
The order of the model describes the dependence of the likelihood on previous regimes. This depends on the model in question and should be set appropriately by subclasses.
- exog_tvtparray_like,
optional
Array of exogenous or lagged variables to use in calculating time-varying transition probabilities (TVTP). TVTP is only used if this variable is provided. If an intercept is desired, a column of ones must be explicitly included in this array.
- switching_trendbool or iterable,
optional
If a boolean, sets whether or not all trend coefficients are switching across regimes. If an iterable, should be of length equal to the number of trend variables, where each element is a boolean describing whether the corresponding coefficient is switching. Default is True.
- switching_exogbool or iterable,
optional
If a boolean, sets whether or not all regression coefficients are switching across regimes. If an iterable, should be of length equal to the number of exogenous variables, where each element is a boolean describing whether the corresponding coefficient is switching. Default is True.
- switching_variancebool,
optional
Whether or not there is regime-specific heteroskedasticity, i.e. whether or not the error term has a switching variance. Default is False.
Notes
This model is new and API stability is not guaranteed, although changes will be made in a backwards compatible way if possible.
The model can be written as:
\[\begin{split}y_t = a_{S_t} + x_t' \beta_{S_t} + \varepsilon_t \\ \varepsilon_t \sim N(0, \sigma_{S_t}^2)\end{split}\]i.e. the model is a dynamic linear regression where the coefficients and the variance of the error term may be switching across regimes.
The trend is accommodated by prepending columns to the exog array. Thus if trend=’c’, the passed exog array should not already have a column of ones.
References
Kim, Chang-Jin, and Charles R. Nelson. 1999. “State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications”. MIT Press Books. The MIT Press.
Methods
filter
(params[, transformed, cov_type, …])Apply the Hamilton filter
fit
([start_params, transformed, cov_type, …])Fits the model by maximum likelihood via Hamilton filter.
from_formula
(formula, data[, subset, drop_cols])Create a Model from a formula and dataframe.
hessian
(params[, transformed])Hessian matrix of the likelihood function, evaluated at the given parameters
information
(params)Fisher information matrix of model.
initial_probabilities
(params[, …])Retrieve initial probabilities
Initialize (possibly re-initialize) a Model instance.
initialize_known
(probabilities[, tol])Set initialization of regime probabilities to use known values
Set initialization of regime probabilities to be steady-state values
loglike
(params[, transformed])Loglikelihood evaluation
loglikeobs
(params[, transformed])Loglikelihood evaluation for each period
predict
(params[, start, end, probabilities, …])In-sample prediction and out-of-sample forecasting
predict_conditional
(params)In-sample prediction, conditional on the current regime
regime_transition_matrix
(params[, exog_tvtp])Construct the left-stochastic transition matrix
score
(params[, transformed])Compute the score function at params.
score_obs
(params[, transformed])Compute the score per observation, evaluated at params
smooth
(params[, transformed, cov_type, …])Apply the Kim smoother and Hamilton filter
transform_params
(unconstrained)Transform unconstrained parameters used by the optimizer to constrained parameters used in likelihood evaluation
untransform_params
(constrained)Transform constrained parameters used in likelihood evaluation to unconstrained parameters used by the optimizer
Properties
Names of endogenous variables.
The names of the exogenous variables.
(int) Number of parameters in the model
(list of str) List of human readable parameter names (for parameters actually included in the model).
(array) Starting parameters for maximum likelihood estimation.