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MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes


  • Joanna Janczura
  • Rafal Weron


[KSI_TT,PARAM,P]=MRS2IR_EST(DATA,MODEL) returns smoothed inferences KSI_TT, estimated parameters PARAM and transition matrix P of a Markov regime-switching (MRS) model with 2 independent regimes: (i) an AR(1) process in the base regime X(t+1)=phi_1*X(t)+c_1+sigma_1*|X(t)|^g_1*N(0,1), (ii) and a Gaussian (MODEL='G'), shifted-lognormal ('LN'), shifted-Pareto ('P'), Weibull ('W') or exponential ('E') distributed spike regime, fitted to time series DATA. The first column (KSI_TT) or row (PARAM, P) contains results for the base regime and the second column/row for the spike regime.

Suggested Citation

  • Joanna Janczura & Rafal Weron, 2011. "MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes," HSC Software M11006, Hugo Steinhaus Center, Wroclaw University of Technology.
  • Handle: RePEc:wuu:hscode:m11006

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    Blog mentions

    As found by, the blog aggregator for Economics research:
    1. The stock market and happiness
      by UDADISI in UDADISI on 2012-08-01 23:55:00


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    Cited by:

    1. Tonzer, Lena, 2017. "Uncertainty, financial crises, and subjective well-being," IWH Discussion Papers 2/2017, Halle Institute for Economic Research (IWH).
    2. Anita Ratcliffe & Karl Taylor, 2013. "Who Cares about Stock Market Booms and Busts? Evidence from Data on Mental Wellbeing," Working Papers 2012021, The University of Sheffield, Department of Economics.
    3. Frijters, Paul & Johnston, David W. & Shields, Michael A. & Sinha, Kompal, 2015. "A lifecycle perspective of stock market performance and wellbeing," Journal of Economic Behavior & Organization, Elsevier, vol. 112(C), pages 237-250.


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