Estimation of a Markov Switching Regression Model Matlab script

Publisher review:
Estimation of a Markov Switching Regression Model - Function to estimate a MS regression in matlab This submission provides a function for estimation of a general Markov Switching Regression with k states and any number of regressors. The model also switches in the standard deviationThe main advantage in this function is that you can select which variables will have MS effect and which won't with the use of input argument S. As example, suppose you have a indep matrix with 3 columns (3 explanatory variables). You don't want to have Markov Switching effect in all parameters, but just in variables 1 and 3 (collums 1 and 3 at indep). For that you just set S=[1 0 1] and the function will estimate the model according to your MS choice (value 1 for MS effect, value 0 for no MS effect). Easy isn't it.With a few matrix manipulations (eg. ones()) you can include constants, autoregressive parameters and any other non latent type of explanatory variable which characterizes your econometric model.Input:dep - Dependent Variable (vector)indep - Independent variables (a.k.a explanatory variables), can be a vector (one variable) or a matrixk - Number of States S - This variable controls for where to include a Markov Switching effect. Output:Spec_Output - A structure with following fields:LL - Log likelihood of fitted modelProbs - States probabilities over time (each column represents each state, ascending order).Coeff - All estimated coefficients for each state (regression parameters, standard deviation, transition matrix, etc..) Each column represents each state, ascending order). Requirements: · MATLAB Release: R2006a · Optimization Toolbox · Statistics Toolbox
Operating system:
Windows / Linux / Mac OS / BSD / Solaris

DOWNLOAD ESTIMATION OF A MARKOV SWITCHING REGRESSION MODEL NOW!

Before you Download
Scan your PC for Windows errors!

IE 10 for Windows 8, comes with Adobe Flash support

After criticism received at Metro version of Internet Explorer 10 , initially offered no support for Adobe Flash technology, Microsoft has taken measures to correct this problem by working directly with Adobe to integrate the necessary components into the

Posted on: 25 May 2012 10:36 by A. Brown

Windows 8: boot to fast to furious

Last year began to circulate on the Internet videos where Windows 8 systems boot in 7 seconds. Unfortunately, from this performance derives some problems.

Posted on: 25 May 2012 07:28 by A. Brown

Apple prepares iPhone 5 and iOS 6

New information coming from some sources close to Apple confirming that the Cupertino giant is testing two different models of iPhone, called internal iPhone5, 1 and iPhone 5.2. Apparently, both devices have a screen of 3.95 inches and a resolution of 113

Posted on: 24 May 2012 08:36 by A. Brown

Windows 8 estimates: 500 million users in 2013

Microsoft expects to launch a new wave of optimism with Windows 8. In a recent statement, Steve Ballmer, chief executive at Microsoft, estimates that Windows 8 will reach a total of about 500 million users by the end of 2013.

Posted on: 24 May 2012 08:25 by A. Brown