Advanced Search
MyIDEAS: Login

PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model

Contents:

Author Info

  • Joanna Janczura
  • Rafal Weron

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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/hscode/ps2r_est.m
File Function: Program file
Download Restriction: no

Bibliographic Info

Software component provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Software with number M11008.

as in new window
Size:
Programming language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.9).
Date of creation: 03 Oct 2011
Date of revision:
Handle: RePEc:wuu:hscode:m11008

Contact details of provider:
Postal: Wybrzeze Wyspianskiego 27, 50-370 Wroclaw
Phone: +48-71-3203530
Fax: +48-71-3202654
Email:
Web page: http://prac.im.pwr.wroc.pl/~hugo
More information through EDIRC

Related research

Keywords: Parameter switching (PS) model; Markov regime-switching (MRS) model; Calibration; Expectation-maximization; Smoothed inferences.;

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:wuu:hscode:m11008. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rafal Weron).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.