John Valica

 

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econometrics

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Updated		File	Tags	Downloads (last 30 days)	Comments	Rating
17 Aug 2011		MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast Markov Regime Switching Models in Matlab Author: Marcelo Perlin	markov switching, econometrics, analysis, optimization, statistics, finance	262	92	4.5 4.5 | 32 ratings

Files Matching John's Watch List					1 - 1 of 1
Updated		File	Tags	Downloads (last 30 days)	Comments	Rating
17 Aug 2011		MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast Markov Regime Switching Models in Matlab Author: Marcelo Perlin	markov switching, econometrics, analysis, optimization, statistics, finance	262	92	4.5 4.5 | 32 ratings

Comments and Ratings Matching John's Watch List			1-5 of 97
Date	File	Comment by	Comments	Rating
06 Jan 2012	MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast Markov Regime Switching Models in Matlab	Marcelo Perlin	Hi Tim, I made an update to the package a while ago. I just tested it with R 2.14.2 and it is working fine. Best, Marcelo.	Comment only
03 Jan 2012	MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast Markov Regime Switching Models in Matlab	Tim Kenyon	Hi, I have the same problem as Thorsten Schmidt above regarding DONLP2 for the fMarkovSwitching program in R. Is there any way around this problem? Thanks, Tim	Comment only
02 Nov 2011	MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast Markov Regime Switching Models in Matlab	yuxia zhang		4
28 Sep 2011	MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast Markov Regime Switching Models in Matlab	Marcelo Perlin	Thanks Johnny, I'll keep it in mind for future releases. Cheers.	Comment only
23 Sep 2011	MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast Markov Regime Switching Models in Matlab	ss4johnny Hall	Marcelo, I just ran across a paper by Gatumel and Ielpo called "The Number of Regimes Across Asset Returns: Identification and Economic Value". They use a rather simple test statistic to identify the number of regimes. Might be something simple to add to the program.	Comment only