Kim and Nelson, State-space Models with Regime Switching
Posted: Thu Jun 28, 2012 12:21 pmThe 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.
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
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| 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 |