Search found 2 matches
- Fri Feb 09, 2018 11:40 pm
- Forum: Examples and Sample Code
- Topic: State-space Models with Regime Switching- KIMNP124.RPF
- Replies: 2
- Views: 5935
- Thu Feb 08, 2018 9:18 am
- Forum: Examples and Sample Code
- Topic: State-space Models with Regime Switching- KIMNP124.RPF
- Replies: 2
- Views: 5935
State-space Models with Regime Switching- KIMNP124.RPF
Hi, I was trying to understand the KIMNP124.RPF codes for Application 5.6 from pp 124-126 of Kim and Nelson, "State-space Models with Regime Switching". Friedman's "plucking" model. I have some doubts regarding the codes. I can't understand the following coefficients theta(1,1) a...