State-space Models with Regime Switching- KIMNP124.RPF

[sunilpaul29]

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) and theta(1,2). In the original paper they have reported the probability values. In the replication theta(1,1) is greater than 1. Can you suggest some reference for the model used in the .rpf file. How can I extract the predicted probabilities. Thank you.

Sunil

[TomDoan]

That uses the logistic representation of the transition probabilities. See (10) in the User's Guide.

disp %mslogisticp(theta)

will show the transition probabilities themselves.

[sunilpaul29]

Thank you