MarkovSwitchingVARResult.specification#

property MarkovSwitchingVARResult.specification: str[source]#

Krolzig code for which blocks switch, e.g. "MSIH(2)-VAR(1)".

I for a switching intercept, A for switching lag coefficients, H for a switching covariance, in that order.

Example

>>> import numpy as np
>>> rng = np.random.default_rng(0)
>>> s = np.repeat([0, 1, 0, 1], 100)
>>> y = np.array([[-1.0, -0.5], [1.5, 1.0]])[s] + 0.4 * rng.standard_normal((400, 2))
>>> MarkovSwitchingVAR(y, order=1, n_regimes=2).fit(seed=0).specification
'MSIH(2)-VAR(1)'
>>> model = MarkovSwitchingVAR(y, order=2, n_regimes=2, switching_variance=False)
>>> model.fit(seed=0).specification
'MSI(2)-VAR(2)'