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Jun 27

An Implementation of Markov Regime Switching Model with Time Varying Transition Probabilities in Matlab

Posted by abiao at 08:52 | Code » Matlab | Comments(2) | Reads(14002)
This memo explains how to use the MATLAB code for estimating a Markov Regime Switching Model with time varying transition probabilities. The code is developed by Zhuanxin Ding based on the original code by Marcelo Perlin for estimating a Markov
Regime Switching Model
with constant transition probability matrix.

Click here for an introduction paper and Matlab codes are here.

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