PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model
Abstract[KSI_TT,PARAM,P]=PS2R_EST(DATA) returns smoothed inferences KSI_TT, estimated parameters PARAM and transition matrix P of a 2-regime parameter switching (PS) model, i.e. a 2-regime Markov regime-switching (MRS) model with both regimes driven by AR(1) processes of the form: X(t+1)=phi_i*X(t)+c_i+sigma_i*|X(t)|^g_i*N(0,1). The first column (KSI_TT) or row (PARAM, P) contains results for the base regime and the second column/row for the spike regime.
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Bibliographic InfoSoftware component provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Software with number M11008.
Programming language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.9).
Date of creation: 03 Oct 2011
Date of revision:
Parameter switching (PS) model; Markov regime-switching (MRS) model; Calibration; Expectation-maximization; Smoothed inferences.; reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
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