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PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model


  • Joanna Janczura
  • Rafal Weron


PS2R_SIM(P,PARAM,STARTVALUE,KSI_0,T,N) generates N trajectories 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). P, PARAM and KSI_0 are the transition matrix, model parameters and probabilities classifying the first observation to one of the regimes, respectively, returned by PS2R_EST. STARTVALUE is the starting point for the simulated trajectories and T is the length of the trajectories.

Suggested Citation

  • Joanna Janczura & Rafal Weron, 2011. "PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model," HSC Software M11007, Hugo Steinhaus Center, Wroclaw University of Technology.
  • Handle: RePEc:wuu:hscode:m11007

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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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