MS_Regress_Fit: Function to Estimate a Markov Switching Regression

In fMarkovSwitching: R Package for Estimation, Simulation and Forecasting of a Univariate Markov Switching Model

Description

This function will estimate by maximum likelihood a univariate MS model based on input arguments

Usage

MS_Regress_Fit(dep, indep, S, k = 2, distIn = "Normal")

Arguments

dep	The dependent/explained variable (a vector)
indep	the independent/explanatory variables (a matrix)
S	Input argument which controls which indep variables switch (see documentation for more details)
k	Number of states in MS model (a positive integer, e.g. k=2)
distIn	Assumed distribution for residue ("Normal" or "t")

Value

Returns a S4 "MS_Model" object the following slots:

@filtProb	A matrix with the filtered probabilities from the Model
@smoothProb	A matrix with the smooth probabilities from the Model (Kim's algorithm)
@Coeff	A list structure with all estimated coefficients (see documentation for more details)
@CondMean	A matrix of fitted conditional means, conditional on the probabilities of t<a6>t
@Coeff_Std	A list with standard errors of coefficients (with same members as @Coeff)
@LL	The maximum log likelihood found by optimizing algorithm
@k	The number of states in MS model
@paramVec	Estimated parameters in vector notation (with the same values as @Coeff
@stateDur	The Expected duration of each regime
@nParameter	The number of parameters in the model
@nParameter	The number of parameters in the model
@sizeModel	A list with the size of the estimated model (see documentation for details)
@distrib	The distribution assumption ("Normal" or "t")

Note

A MatLab version of the code is also available. See matlab exchange site (http://www.mathworks.com/matlabcentral/fileexchange/15789)

Author(s)

Marcelo Perlin - ICMA/UK <[e-mail]>

References

ALEXANDER, C. (2008) 'Market Risk Analysis: Practical Financial Econometrics' Wiley
HAMILTON, J., D. (1994) 'Time Series Analysis' Princeton University Press
HAMILTON, J., D. (2005) 'Regime Switching Models' Palgrave Dictionary of Economic
KIM, C., J., NELSON, C., R. (1999) 'State Space Model with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications' The MIT press

See Also

MS_Regress_Simul,MS_Regress_For,MS_Regress_Lik

Examples

# defining some data (from package)

data(indep)
data(dep)

S<-c(1,0,0)	# where to switch (in this case in the olny indep)
k<-2		# number of states
distIn<-"Normal"#distribution assumption

myModel<-MS_Regress_Fit(dep,indep,S,k)	# fitting the model
print(myModel)	# printing output
plot(myModel)	# plotting output

fMarkovSwitching documentation built on May 2, 2019, 5:58 p.m.