Need Help Understanding and Debugging Markov Model Results

[D. K]

Hello ,

I am currently working on a project that involves the implementation of a Markov model on a growth model using Python, Pandas, and Statsmodels with two regimes

I have encountered an issue with the computation of certain statistics, particularly "Recession Mean," "Recession Std Dev," "Expansion Mean," "Expansion Std Dev," "Transition Matrix (Recession)," "Transition Matrix (Expansion)," and others. These statistics seem to have zero non-null values, and I suspect there might be an error in the calculation or data processing.

I have provided a snippet of the relevant code below  :


     # Extract covariance matrix elements
       
    cov_matrix = endog_results.cov_params()
    print("Covariance Matrix:")
    print(cov_matrix)
    
        # Calculate missing values
        recession_mean = subset_data.groupby(endog_var).mean().loc[0]
        recession_std_dev = subset_data.groupby(endog_var).std().loc[0]
        expansion_mean = subset_data.groupby(endog_var).mean().loc[1]
        expansion_std_dev = subset_data.groupby(endog_var).std().loc[1]  
        transition_matrix_recession = endog_results.transitions[0][0]
        transition_matrix_expansion = endog_results.transitions[1][1]
        cov_p00 = endog_results.covariances[0][0]
        cov_p01 = endog_results.covariances[0][1]
        cov_p11 = endog_results.covariances[1][1]
        
        # Additional calculations
        const_0 = endog_results.params['const[0]']  # Assuming 'const[0]' is a parameter in the model
        const_2 = endog_results.params['const[2]']  # Assuming 'const[2]' is a parameter in the model
        x1_0 = endog_results.params['x1[0]']  # Assuming 'x1[0]' is a parameter in the model
        x1_1 = endog_results.params['x1[1]']  # Assuming 'x1[1]' is a parameter in the model
        sigma2 = endog_results.sigma2
        
        # Display the calculated values
        print("Recession Mean:", recession_mean)
        print("Recession Std Dev:", recession_std_dev)
        print("Expansion Mean:", expansion_mean)
        print("Expansion Std Dev:", expansion_std_dev)
        print("Transition Matrix (Recession):", transition_matrix_recession)
        print("Transition Matrix (Expansion):", transition_matrix_expansion)
        print("Cov(p[0->0], p[0->0]):", cov_p00)
        print("Cov(p[0->1], p[0->1]):", cov_p01)
        print("Cov(p[1->1], p[1->1]):", cov_p11)
        print("Const[0]:", const_0)
        print("Const[2]:", const_2)
        print("x1[0]:", x1_0)
        print("x1[1]:", x1_1)
        print("Sigma2:", sigma2)

 I would greatly appreciate it if you could review the code and provide guidance on resolving this issue. If you need more information or context about the project, please let me know.

Thank you in advance for your time and assistance.

Best regards, 

David K.