Switching Models in Econometrics

Econometrics Toolbox includes tools to model time series data in the presence of regime shifts in MATLAB. The following videos, along with the associated code, illustrate how you can use Markov switching models or threshold switching models to model unemployment and inflation rate data across different economic regimes.

29:45

Markov Switching Models Use Markov switching models from the Econometrics Toolbox to model time series data in the presence of shifting macroeconomic regimes.

28:39

Threshold Switching Models Use threshold switching models from the Econometrics Toolbox to model time series data in the presence of shifting macroeconomic regimes.

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