Kim and Nelson, State-space Models with Regime Switching

[TomDoan]

The attached zip has the examples and data files for Kim and Nelson, State-space Models with Regime Switching, 1999, MIT Press. The book demonstrates estimation of state-space models with Markov switching using both approximate maximum likelihood using the "Kim" filter and MCMC methods. In both cases, it starts with simpler models and works up, so the examples through kimnp126.rpf are for maximum likelihood and those starting with kimnp180.rpf are for MCMC.

Quite a few of these examples (switching space-space models and some of the simpler examples) are explained in much greater detail in the "Structural Breaks and Switching Models" e-course. See http://www.estima.com/courses_completed.shtml for more information.

kim-nelson_1.zip

Zip with programs/data

(95.08 KiB) Downloaded 164 times

Example	Description	RATS Level
kimnp037_uni.rpf	State-space model, univariate, ML estimation	Advanced
kimnp037_bi.rpf	State-space model, bivariate, ML estimation	Advanced
kimnp044.rpf	Time-varying parameters regression	Advanced
kimnp048.rpf	State-space model, multivariate, ML estimation	Advanced
kimnp078_1984.rpf	MS autoregression, ML estimation	Advanced
kimnp078_1995.rpf	MS autoregression, ML estimation	Advanced
kimnp082.rpf	MS autoregression, switching variances, ML estimation	Advanced
kimnp086.rpf	MS variance model, ML estimation	Advanced
kimnp111.rpf	MS State-space model, approximate ML estimation	Advanced
kimnp115.rpf	MS State-space model, approximate ML estimation	Advanced
kimnp115gibbs.rpf	MS State-space model, Gibbs sampling	Advanced
kimnp124.rpf	MS State-space model, approximate ML estimation	Advanced
kimnp126.rpf	MS State-space model, approximate ML estimation	Advanced
kimnp180.rpf	Gibbs sampling (AR regression model)	Advanced
kimnp182.rpf	Gibbs sampling (Regression with AR errors)	Advanced
kimnp196.rpf	Gibbs sampling (State-space model)	Advanced
kimnp218.rpf	Gibbs sampling (MS autoregression)	Advanced
kimnp219.rpf	Gibbs sampling (MS variances)	Advanced
kimnp229.rpf	Gibbs sampling (MS autoregression, means and variances)	Advanced
kimnp247.rpf	Gibbs sampling (MS State-space model)	Advanced
kimnp266.rpf	Gibbs sampling (MS State-space model)	Advanced