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PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model

Author

Listed:
  • Joanna Janczura
  • Rafal Weron

Programming Language

MATLAB

Abstract

PS2R_SIM(P,PARAM,STARTVALUE,KSI_0,T,N) generates N trajectories of a 2-regime parameter switching (PS) model, i.e. a 2-regime Markov regime-switching (MRS) model with both regimes driven by AR(1) processes of the form: X(t+1)=phi_i*X(t)+c_i+sigma_i*|X(t)|^g_i*N(0,1). P, PARAM and KSI_0 are the transition matrix, model parameters and probabilities classifying the first observation to one of the regimes, respectively, returned by PS2R_EST. STARTVALUE is the starting point for the simulated trajectories and T is the length of the trajectories.

Suggested Citation

  • Joanna Janczura & Rafal Weron, 2011. "PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model," HSC Software M11007, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    • Handle: RePEc:wuu:hscode:m11007
    as

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    File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/hscode/ps2r_sim.m
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