The Markov_Switching1.xls Model


View the model
Download the model

Given a series of observations, we assume that the data generation process is governed by two different regimes (states) and estimate the unobserved states with allowing transition probabilites to follow a markov chain. The series is also assumed to follow a first order autoregressive process (i.e. AR(1)).


Econometrics | Time Series | Maximum Likelihood | Markov Switching | Markov Chain | Regime Switching |