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Regime Switching Model with Time Varying Transition Probabilities

14 Jun 2012 (Updated 20 Nov 2012)

Code for estimating a Markov Regime Switching Model with time varying transition probabilities.

File Information
Description	The MATLAB code presented here is 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.
Required Products	Optimization Toolbox Statistics Toolbox MATLAB
MATLAB release	MATLAB 7.14 (R2012a)

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Everyone's Tags	econometrics and statistics(8), statistics(2)
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Comments and Ratings (2)
13 Oct 2012	yan Chen
10 Jul 2012	ss4johnny Hall	This looks cool. Thanks for making it available.

Updates
28 Jun 2012	Add explanation to the tvtp matrix notation. Add Tomlab as an alternative for optimization.
20 Nov 2012	1) Brett Sumsion of Dupont Capital Management kindly modified Marcelo's c++ filter to be used with the tvtp code here. 2) Added Tomlab optimizer as an alternative optimization tool.