State-Space model with Markov-Switching Heteroskedasticity
Posted: Mon Jun 05, 2017 9:35 am
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.
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.