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

Joanna Janczura and Rafał Weron ()

HSC Software from Hugo Steinhaus Center, Wroclaw University of Technology

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.

Language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.9).
Keywords: Parameter switching (PS) model; Markov regime-switching (MRS) model; Calibration; Expectation-maximization; Smoothed inferences. (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_est.m Program file (text/plain)

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Persistent link: http://EconPapers.repec.org/RePEc:wuu:hscode:m11008

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