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A two regime Markov switching mannequin for the log of M2 velocity, 1959-2022, as recommended 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 performed any rigorous robustness checks, or that these outcomes are consultant. The info and software program can be found so one can consider how nicely a two regime Markov switching mannequin does for (log) velocity. For me, it’s not nice, most likely 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, nicely we haven’t seen it it. If he signifies that there’s a 3rd regime, nicely, we’re presently into a 3rd, lowest imply – not an intermediate imply – regime, in accordance with a 3 regime MS mannequin.
Replace, 1pm Pacific:
Rick Stryker says this needs to be estimated in log first variations.
Give these regime possibilities.
A two regime mannequin says the imply of first variations is already presently in a excessive development mode. Observe a primary variations specification although implies no reversion to deterministic pattern for that regime…
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