MRS3IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 3 independent regimes

Joanna Janczura and Rafał Weron

HSC Software from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: [KSI_TT,PARAM,P]=MRS3IR_EST(DATA,MODEL) returns smoothed inferences KSI_TT, estimated parameters PARAM and transition matrix P of a Markov regime-switching (MRS) model with 3 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) a Gaussian (MODEL='G'), lognormal ('LN'), Pareto ('P'), Weibull ('W') or exponential ('E') distributed spike regime, (iii) and a shifted 'inverse lognormal' price drop regime, fitted to time series DATA. The first column (KSI_TT) or row (PARAM, P) contains results for the base regime, the second column/row for the spike regime and the third column/row for the drop regime.

Language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.9).
Keywords: Markov regime-switching (MRS) model; Calibration; Expectation-maximization; Smoothed inferences. (search for similar items in EconPapers)
Date: 2011-10-10
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http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/hscode/mrs3ir_est.m Program file (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:wuu:hscode:m11010

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