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Marcelo Perlin
First Version: November 23, 2010
This version: August 17, 2011
Abstract
Markov state switching models are a type of specification which
allows for the transition of states as an intrinsic property of the econo-
metric model. Such type of statistical representations are well known
and utilised in different problems in the field of economics and finance.
This paper gives an overview of MS Regress, a MATLAB toolbox spe-
cially designed for the estimation, simulation and forecasting of a gen-
eral markov regime switching model. The package was written in an
intuitive manner so that the user have at its reach a large number of
different markov switching specifications, without any change in the
original code. This document introduces the main functionality of the
package with the help of several empirical examples.
Assistant Professor of Finance, UFRGS - Escola de Administracao (Porto Alegre,
Brazil)
1
Contents
1 Introduction 3
2 Overview of the package 3
3 Installation of the package 3
4 Introduction to markov regime switching models 4
5 Estimating markov switching models 7
5.1 Interface to univariate modelling . . . . . . . . . . . . 7
5.2 Interface to multivariate modelling . . . . . . . . . . . 12
5.3 Estimating autoregressive Models (MS - VAR) . . . . 13
5.4 The output from the estimation fun
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