MS_Regress - The MATLAB Package for Markov Regime Switching Models
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"]