MS Regress-The MATLAB Package for Markov Regime Switching Models

@inproceedings{Perlin2010MSRM,
  title={MS Regress-The MATLAB Package for Markov Regime Switching Models},
  author={Marcelo S. Perlin},
  year={2010}
}
Markov state switching models are a type of specification which allows for the transition of states as an intrinsic property of the econometric model. Such type of statistical representations are well known and utilised in different problems in the field of economics and finance. This paper gives an overview of MS Regress, a MATLAB toolbox specially designed for the estimation, simulation and forecasting of a general markov regime switching model. The package was written in an intuitive manner… CONTINUE READING
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