Download This PaperEstimating a MS-TVTP Model with Matlab Software
16 Pages Posted: 1 Jul 2012
Date Written: July 1, 2012
Abstract
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
Suggested Citation: Suggested Citation
Ramzi, Knani, Estimating a MS-TVTP Model with Matlab Software (July 1, 2012). Available at SSRN: https://ssrn.com/abstract=2097260 or http://dx.doi.org/10.2139/ssrn.2097260
Do you have a job opening that you would like to promote on SSRN?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.