Regime Switching code

Sparx · May 18th, 2005, 1:29 pm

Is there a Matlab/EViews/GAUSS code available for estimating parameters for the regime-switching process? I've read the Hamilton (1989) and lot of related studies and have a general idea of the regime-swithing framework. I think my problem is using the filter that is needed to estimate transition probabilities and other model parameters.Markus

Charlie · June 6th, 2005, 12:55 pm

I don't use those languages, but like you have been looking for examples. This page seems to have some. but you will have to tell us if it works/ is useful!http://www.nek.lu.se/nekuer/tsa05/Markov/markov.htmDo you have the Hamilton paper (1989 and/or 1990). I can't find them and have only got his book.