Asked by Quantopic
on 16 May 2013

Dear matlab users, I'm trying to implement a loop in matlab for estimating a markov-switching model; for instance, the code for the variable 1 is the following:

%Defining inputs dep = JunkReturn1; indep = [JunkSilliq1 Billiq TERM uTERM DEF uDEF rSP500 dVIXLeveragecorr]; k = 2; S=[1 1 1 1 1 1 1 1 1]; advOpt.distrib = 'Normal'; advOpt.std_method=1; %Estimating the model [Spec_Out]=MS_Regress_Fit(dep,indep,k,S,advOpt);

This code works well, but, I've more than 100 variables, all of them are index-linked (e.g. JunkReturn1, JunkReturn2,...,JunkSilliq1, JunkSilliq2,...) and I want to speed the process up implementing a loop. I wrote the following code down to do that:

for i = 1:22 dep = JunkReturn(i); indep = [JunkSilliq(i) Billiq TERM uTERM DEF uDEF rSP500 dVIXLeveragecorr]; k = 2; S=[1 1 1 1 1 1 1 1 1]; advOpt.distrib = 'Normal'; advOpt.std_method=1; [Spec_Out]=MS_Regress_Fit(dep,indep,k,S,advOpt); end

but it does not work. Can someone of you tell me where I'm in wrong? Thanks everyone for helping!

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Answer by Walter Roberson
on 16 May 2013

Opportunities for recent engineering grads.

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