MS_Regress - The MATLAB Package for Markov Regime Switching Models

ArXiv ID: ssrn-1714016 “View on arXiv”

Authors: Unknown

Abstract

Markov state switching models are a type of specification which allows for the transition of states as an intrinsic property of the econometric model. Such type

Keywords: Markov State Switching, Econometric Modeling, Time Series Analysis, Regime Change, Econometrics

Complexity vs Empirical Score

• Math Complexity: 7.0/10
• Empirical Rigor: 3.0/10
• Quadrant: Lab Rats
• Why: The paper presents advanced econometric theory with detailed maximum likelihood estimation and regime-switching matrix formulations, but focuses on a MATLAB package’s code and installation rather than providing a specific backtest with real financial data.

  flowchart TD
    A["Research Goal: Develop MATLAB Package<br>for Markov Regime Switching Models"] --> B["Data & Inputs<br>Time Series Data & Regime Specifications"]
    B --> C["Computational Process<br>Maximum Likelihood Estimation"]
    C --> D["Key Methodology<br>Markov State Transition Modeling"]
    D --> E["Key Findings: MS_Regress Package<br>Enables Regime Change Analysis<br>with Econometric Precision"]