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

Joanna Janczura and Rafał Weron ()

HSC Software from Hugo Steinhaus Center, Wroclaw University of Technology

Abstract: 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.

Language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.9).
Keywords: Parameter switching (PS) model; Markov regime-switching (MRS) model; Sample trajectory. (search for similar items in EconPapers)
Date: 2011-10-03
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http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/hscode/ps2r_sim.m Program file (text/plain)

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Persistent link: http://EconPapers.repec.org/RePEc:wuu:hscode:m11007

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