An Implementation of Markov Regime Switching Model with Time Varying Transition Probabilities in Matlab
5 Pages Posted: 12 Jun 2012 Last revised: 29 Jun 2012
Date Written: June 12, 2012
This memo explains how to use the MATLAB code for estimating a Markov Regime Switching Model with time varying transition probabilities. The code is developed by Zhuanxin Ding based on the original code by Marcelo Perlin for estimating a Markov Regime Switching Model with constant transition probability matrix.
Keywords: Regime Switching Model, Time Varying Transition Probabilities
JEL Classification: C5
Suggested Citation: Suggested Citation