MS_Regress - The MATLAB Package for Markov Regime Switching Models

39 Pages Posted: 26 Nov 2010 Last revised: 20 Apr 2015

See all articles by Marcelo Perlin

Marcelo Perlin

Escola de Administração - UFRGS

Date Written: April 19, 2015

Abstract

Markov state switching models are a type of specification which allows for the transition of states as an intrinsic property of the econometric model. Such type of statistical representations are well known and utilized in different problems in the field of economics and finance. This paper gives an overview of MS_Regress, a Matlab toolbox specially designed for the estimation, simulation and forecasting of a general markov regime switching model. The package was written in an intuitive manner so that the user have at its reach a large number of different markov switching specifications, without any change in the original code. This document introduces the main functionality of the package with the help of several empirical examples.

Keywords: Markov switching models, Financial econometrics, Matlab

JEL Classification: C32, C87

Suggested Citation

Perlin, Marcelo, MS_Regress - The MATLAB Package for Markov Regime Switching Models (April 19, 2015). Available at SSRN: https://ssrn.com/abstract=1714016 or http://dx.doi.org/10.2139/ssrn.1714016

Marcelo Perlin (Contact Author)

Escola de Administração - UFRGS ( email )

Porto-Alegre RS
Brazil

HOME PAGE: http://sites.google.com/site/marceloperlin/

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