EconPapers    
Economics at your fingertips  
 

MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes

Joanna Janczura and Rafał Weron ()

HSC Software from Hugo Steinhaus Center, Wroclaw University of Technology

Abstract: MRS2_PLOT(KSI_TT,DATA) generates a figure with two panels visualizing calibration results for a Markov regime-switching (MRS) model with 2 regimes fitted to time series DATA. In the bottom panel probabilities KSI_TT that an observation comes from the spike (i.e. second) regime are plotted. In the top panel the time series is displayed with observations identified as belonging to the spike regime (i.e. having KSI_TT>0.5) marked by red dots. MRS2_PLOT(KSI_TT,DATA,YLAB,XLAB,TIT,POS) allows to specify ylabel (YLAB), xlabel (XLAB), title (TIT) and position of the plot (POS=1 for left panel, POS=2 for right panel and POS=0 for the whole figure).

Language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.9).
Keywords: Markov regime-switching (MRS) model; Sample trajectory; Calibration. (search for similar items in EconPapers)
Date: 2011-10-03
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/hscode/mrs2_plot.m Program file (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:wuu:hscode:m11004

Access Statistics for this software item

More software in HSC Software from Hugo Steinhaus Center, Wroclaw University of Technology
Contact information at EDIRC.
Series data maintained by Rafal Weron ().

 
Page updated 2014-08-29
Handle: RePEc:wuu:hscode:m11004