Estimating a MS-TVTP Model with Matlab Software
16 Pages Posted: 1 Jul 2012
Date Written: July 1, 2012
The markov switching model is used in different domain mainly in the economic time series. Thus, several extensions have been developed. Among these the markov switching with time varying transition probabilities which considered as the best. In this paper, we try to provide with the MS user a Matlab code that allows to estimate the MS-TVTP parameter. We refer in our code to Filardo and Gordon’s (1998) algorithm based on Gibbs sampling. An application is done so as to explain the exchange rate fluctuations.
Keywords: MS-TVTP, Gibbs sampling, exchange rate
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