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Thread Subject:
Kim filter

Subject: Kim filter

From: Fredo Jean-Baptiste

Date: 28 Dec, 2011 21:44:09

Message: 1 of 7

Hi all,
I'm looking for a matlab implementation of the Kim filter, described in Kim and Nelson (1999) ,State-Space Models with Regime-Switching: Classical and Gibbs-Sampling Approaches with Applications.
I would greatly appreciate if some economists/econometricians or someone else would provide me with his code, if available.
Thanks and happy new year,
F.

Subject: Kim filter

From: Dick Startz

Date: 29 Dec, 2011 03:27:21

Message: 2 of 7

On Wed, 28 Dec 2011 21:44:09 +0000 (UTC), "Fredo Jean-Baptiste"
<malthush@yahoo.fr> wrote:

>Hi all,
>I'm looking for a matlab implementation of the Kim filter, described in Kim and Nelson (1999) ,State-Space Models with Regime-Switching: Classical and Gibbs-Sampling Approaches with Applications.
>I would greatly appreciate if some economists/econometricians or someone else would provide me with his code, if available.
>Thanks and happy new year,
>F.
Have you googled "Kim and Nelson code"?

Subject: Kim filter

From: Fredo Jean-Baptiste

Date: 29 Dec, 2011 08:07:09

Message: 3 of 7

"Fredo Jean-Baptiste" <malthush@yahoo.fr> wrote in message <jdg2j9$7m9$1@newscl01ah.mathworks.com>...
> Hi all,
> I'm looking for a matlab implementation of the Kim filter, described in Kim and Nelson (1999) ,State-Space Models with Regime-Switching: Classical and Gibbs-Sampling Approaches with Applications.
> I would greatly appreciate if some economists/econometricians or someone else would provide me with his code, if available.
> Thanks and happy new year,
> F.
Yes, but any implementation in Matlab.

Subject: Kim filter

From: Dick Startz

Date: 29 Dec, 2011 15:28:08

Message: 4 of 7

On Thu, 29 Dec 2011 08:07:09 +0000 (UTC), "Fredo Jean-Baptiste"
<malthush@yahoo.fr> wrote:

>"Fredo Jean-Baptiste" <malthush@yahoo.fr> wrote in message <jdg2j9$7m9$1@newscl01ah.mathworks.com>...
>> Hi all,
>> I'm looking for a matlab implementation of the Kim filter, described in Kim and Nelson (1999) ,State-Space Models with Regime-Switching: Classical and Gibbs-Sampling Approaches with Applications.
>> I would greatly appreciate if some economists/econometricians or someone else would provide me with his code, if available.
>> Thanks and happy new year,
>> F.
>Yes, but any implementation in Matlab.
Look at

http://www.mathworks.com/matlabcentral/fileexchange/18172-estimation-and-simulation-of-state-space-kalman-filter-models-with-matlab
http://www.mathworks.com/matlabcentral/fileexchange/15789
http://people.bu.edu/perron/code.html

Subject: Kim filter

From: Fredo Jean-Baptiste

Date: 29 Dec, 2011 22:34:08

Message: 5 of 7

Dick Startz <@> wrote in message <rc1pf7h65vnpe17e714ggl8nmhsg01oote@4ax.com>...
> On Thu, 29 Dec 2011 08:07:09 +0000 (UTC), "Fredo Jean-Baptiste"
> <malthush@yahoo.fr> wrote:
>
> >"Fredo Jean-Baptiste" <malthush@yahoo.fr> wrote in message <jdg2j9$7m9$1@newscl01ah.mathworks.com>...
> >> Hi all,
> >> I'm looking for a matlab implementation of the Kim filter, described in Kim and Nelson (1999) ,State-Space Models with Regime-Switching: Classical and Gibbs-Sampling Approaches with Applications.
> >> I would greatly appreciate if some economists/econometricians or someone else would provide me with his code, if available.
> >> Thanks and happy new year,
> >> F.
> >Yes, but any implementation in Matlab.
> Look at
>
> http://www.mathworks.com/matlabcentral/fileexchange/18172-estimation-and-simulation-of-state-space-kalman-filter-models-with-matlab
> http://www.mathworks.com/matlabcentral/fileexchange/15789
> http://people.bu.edu/perron/code.html

Dick, thanks a lot. Although the links are quite useful, actually this was not what I wanted. Much of the links are about Kalman filter not Kim filter. I have decided to code it in Matlab, reading carefully chap 5 of Kim and Nelson. I can make it available if needed.

Subject: Kim filter

From: Dick Startz

Date: 30 Dec, 2011 00:17:01

Message: 6 of 7

On Thu, 29 Dec 2011 22:34:08 +0000 (UTC), "Fredo Jean-Baptiste"
<malthush@yahoo.fr> wrote:

>Dick Startz <@> wrote in message <rc1pf7h65vnpe17e714ggl8nmhsg01oote@4ax.com>...
>> On Thu, 29 Dec 2011 08:07:09 +0000 (UTC), "Fredo Jean-Baptiste"
>> <malthush@yahoo.fr> wrote:
>>
>> >"Fredo Jean-Baptiste" <malthush@yahoo.fr> wrote in message <jdg2j9$7m9$1@newscl01ah.mathworks.com>...
>> >> Hi all,
>> >> I'm looking for a matlab implementation of the Kim filter, described in Kim and Nelson (1999) ,State-Space Models with Regime-Switching: Classical and Gibbs-Sampling Approaches with Applications.
>> >> I would greatly appreciate if some economists/econometricians or someone else would provide me with his code, if available.
>> >> Thanks and happy new year,
>> >> F.
>> >Yes, but any implementation in Matlab.
>> Look at
>>
>> http://www.mathworks.com/matlabcentral/fileexchange/18172-estimation-and-simulation-of-state-space-kalman-filter-models-with-matlab
>> http://www.mathworks.com/matlabcentral/fileexchange/15789
>> http://people.bu.edu/perron/code.html
>
>Dick, thanks a lot. Although the links are quite useful, actually this was not what I wanted. Much of the links are about Kalman filter not Kim filter. I have decided to code it in Matlab, reading carefully chap 5 of Kim and Nelson. I can make it available if needed.

You might try emailing Chang-Jin Kim first and asking if he has a
translation.
-Dick Startz

Subject: Kim filter

From: Alessandro

Date: 8 Jul, 2014 18:27:09

Message: 7 of 7

Hello,

would you be so kind to make available the code that you were developing?

Many thanks,
Alessandro De Marchi

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