Quantitative finance collector
C++ Matlab VBA/Excel Java Mathematica R/Splus Net Code Site Other
Jun 23

Regime-Switching Model library in Gauss

Posted by abiao at 09:18 | Code » Other | Comments(0) | Reads(11271)
This is the most up-to-date version of the switching regression procedures built by Simon van Norden and Robert Vigfusson with help from Jeff Gable. This Regime-Switching Model library lets you to estimate a general class of regime-switching models along the lines of those described in James Hamilton's textbook. Key features and limitations of the code include:
one independent variable only
two states only
arbitrary number of observed variables may be included to explain time-varying transition probablities or state-dependent means
external c-code, analytical gradients and combined maxlik()/EM algorithms for fast calculation
descriptive statistics, plots and White's model-misspecification tests
cascading estimation
separate, faster code for "simple switching" models (i.i.d. mixtures of regimes.)

learn more and download at http://www.hec.ca/pages/simon.van-norden/codepage.html and a Guide to the Bank of Canada Gauss Procedures at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=50565.

Tags: ,
Add a comment
Enable HTML
Enable UBB
Enable Emots
Nickname   Password   Optional
Site URI   Email   [Register]