[Scilab-users] Grocer / Markov Switching Model

[Eric Dubois]

Dear Eric.

Could be more precise on the model you want to estimate? (The term
"Markov-switching model" is a generic one: you have to define the law of
your data under the regimes as well as the number of regimes you want to
estimate).

Anyway, there is another Scilab toolbox performing Markov-switching models
(HMM), but it does not seem to be maintained. And I think you will not find
other Scilab ressources corresponding to this kind of models.

Éric.

2013/1/9 ericdoblas <ericdoblasargentina at yahoo.com.ar>

> Hello all,
>
> I am using Markov Switching Model (MSM) to detect turning points. I can´t
> use Bry Boschan or Harding Pagan. I must use MSM. I don´t understand the
> manual´s instructions for Grocer. Specifically, I don´t understand all
> steps
> of the routine on grocer. So, I need a routine for MSM on Grocer.
>
> Thank you very much who can help me
> Eric Doblas
> Argentina
>
>
> This is the data:
>
> Date    GDP                 LGDP
> I 93    216370,1113     12,2847457
> II 93   241871,8584     12,39616335
> III 93  242645,5224     12,3993569
> IV 93   245132,4288     12,40955387
> I 94    232945,3257     12,35855905
> II 94   257476,8946     12,45868527
> III 94  253467,7781     12,44299199
> IV 94   257341,5437     12,45815945
> I 95    237968,1031     12,37989192
> II 95   248093,6393     12,42156153
> III 95  242214,6991     12,3975798
> IV 95   244467,9646     12,40683956
> I 96    236566,0366     12,37398267
> II 96   260751,9252     12,47132476
> III 96  262166,9638     12,47673685
> IV 96   267020,0467     12,49507902
> I 97    256387,8567     12,45444664
> II 97   281769,8008     12,54884571
> III 97  284092,2675     12,55705435
> IV 97   287515,3456     12,56903151
> I 98    271702,3677     12,51246251
> II 98   301207,5978     12,615555
> III 98  293315,4036     12,58900377
> IV 98   286267,8493     12,56468319
> I 99    265024,6359     12,48757807
> II 99   286412,3269     12,56518775
> III 99  278472,6935     12,53707528
> IV 99   283566,3992     12,55520159
> I 00    264555,9181     12,48580792
> II 00   285275,1759     12,56120952
> III 00  276767,971      12,53093478
> IV 00   278091,6764     12,53570611
> I 01    259199,8739     12,46535476
> II 01   284795,7629     12,55952758
> III 01  263126,5054     12,4803902
> IV 01   248864,5552     12,42466407
> I 02    216849,495      12,28695882
> II 02   246314,6332     12,41436499
> III 02  237416,8668     12,37757281
> IV 02   240361,3921     12,38989887
> I 03    228595,8824     12,33971102
> II 03   265402,4777     12,48900274
> III 03  261534,5226     12,47432157
> IV 03   268560,9668     12,50083323
> I 04    254330,4234     12,44638958
> II 04   284375,6106     12,55805122
> III 04  284392,0599     12,55810906
> IV 04   293467,0606     12,58952068
> I 05    274594,5026     12,52305075
> II 05   313927,2903     12,65691668
> III 05  310593,0805     12,64623891
> IV 05   319939,2408     12,67588638
> I 06    298695,5617     12,60718015
> II 06   338243,7275     12,731522
> III 06  337741,8852     12,73003723
> IV 06   347578,7074     12,75874641
> I 07    322448,8712     12,68369986
> II 07   367492,3517     12,81445779
> III 07  367538,7276     12,81458397
> IV 07   379199,6613     12,84581816
> I 08    349945,3229     12,7655322
> II 08   396227,2401     12,88974316
> III 08  393039,23       12,88166471
> IV 08   394564,9401     12,88553902
> I 09    357096,4155     12,7857611
> II 09   393181,2789     12,88202605
> III 09  391678,8883     12,87819762
> IV 09   404860,9562     12,91129897
> I 10    381221,6341     12,8511362
> II 10   439766,5937     12,9939994
> III 10  425323,1724     12,96060456
> IV 10   442208,8085     12,99953747
> I 11    419023,1666     12,94568149
> II 11   479963,6782     13,08146571
> III 11  464882,753      13,04954051
> IV 11   474414,821      13,06983737
> I 12    440884,2806     12,99653772
>
>
>
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