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by msperlin
July 9th, 2007, 4:13 pm
Forum: Technical Forum
Topic: Does anyone know how to do regime switching with matlab?
Replies: 9
Views: 70736

Does anyone know how to do regime switching with matlab?

<t>I have to confess that I'm not familiar with monte carlo markov chain methods. But from what I saw at wikipedia, it looks like a simulation based optimizing algorithm.I don't see the connection of how using MCMC would help with your problem of finding structural breakpoints. No need to be fancy h...
by msperlin
July 6th, 2007, 7:22 pm
Forum: Technical Forum
Topic: Does anyone know how to do regime switching with matlab?
Replies: 9
Views: 70736

Does anyone know how to do regime switching with matlab?

<t>Yes, the way the model switches between the states is presented in the transition matrix (the matrix at Spec_Output.Coeff.p at my code)I don't think the markov swithing model is what you're in need. Also, my code is for AR MS, no garch involved. I plan to add this soon.You're looking into structu...
by msperlin
July 6th, 2007, 4:42 pm
Forum: Technical Forum
Topic: Does anyone know how to do regime switching with matlab?
Replies: 9
Views: 70736

Does anyone know how to do regime switching with matlab?

<t>I think you're confusing things. Markov swicthing model gives you a hint (a probability) of which state the model is, but it does not provide a objective answer (like "today is state 1 for sure") as with a deterministic regime changing model (Setar, tar, etc).What do you mean by detecting changep...
by msperlin
July 5th, 2007, 2:48 pm
Forum: Technical Forum
Topic: Does anyone know how to do regime switching with matlab?
Replies: 9
Views: 70736

Does anyone know how to do regime switching with matlab?

<r>Hi, you can find it in here.<URL url="http://www.mathworks.com/matlabcentral/fileexchange/loadFile.do?objectId=15324&objectType=FILEHope"><LINK_TEXT text="http://www.mathworks.com/matlabcentral/ ... e=FILEHope">http://www.mathworks.com/matlabcentral/fileexchange/loadFile.do?objectId=15324&...
by msperlin
July 5th, 2007, 2:46 pm
Forum: Student Forum
Topic: GARCH estimation with Matlab
Replies: 2
Views: 70080

GARCH estimation with Matlab

I think in matlab original garch toolbox there is a option to fix any coefficient. Take a look at the help files, you should find it.Marcelo.
by msperlin
July 4th, 2007, 12:32 am
Forum: Programming and Software Forum
Topic: Markov Switching Model - Matlab code.
Replies: 10
Views: 210936

Markov Switching Model - Matlab code.

<r>Here you go:<URL url="http://www.mathworks.com/matlabcentral/fileexchange/loadFile.do?objectId=15324&objectType=FILEI%27m"><LINK_TEXT text="http://www.mathworks.com/matlabcentral/ ... pe=FILEI'm">http://www.mathworks.com/matlabcentral/fileexchange/loadFile.do?objectId=15324&objectType=FIL...
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