State-Space model with Markov-Switching Heteroskedasticity

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abi
Posts: 74
Joined: Sat Apr 13, 2013 3:48 am

State-Space model with Markov-Switching Heteroskedasticity

Unread post by abi »

Hi all/Tom,

Is there a RATS code to replicate State-Space model with Markov-Switching Heteroskedasticity based on Kim (1993). "Unobserved-Component Time Series Models With Markov-Switching Heteroskedasticity: Changes in Regime and the Link Between Inflation Rates and Inflation Uncertainty" Journal of Business & Economic Statistics, 11:3, 341-349.

It should be noted this paper is one of the examples of Kim and Nelson, "State-space Models with Regime Switching", 1999, MIT Press, that is mentioned in section 6.3.2 page 153.

Thanks in advance.
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