regime switching

  1. J

    Asset returns and inflation in different inflationary regimes

    Hi, Currently I am writing my thesis and I am stuck on which statistical model would be good to use. I want look how well the returns of different asset classes comove with the inflation rate, at different levels of inflation. In a simplied form: Asset returns = a + Beta * inflation rate + e...
  2. J

    Estimating inflation hedging properties in different economic regimes

    Hi, Currently I am writing my thesis and I am stuck on which statistical model would be good to use. I want look how well the returns of different asset classes comove with the inflation rate, under different economic regimes. In a simplied form: Asset returns = a + Beta * inflation rate + e...
  3. S

    Hidden Markov Switching Model

    Hi, I am using MSwM package in R to estimate a multivariate Hidden Markov Switching Model. I am using the following code for a 3 regime model: model=lm(y~x1+x2+x3+x4.....+x12) mod=msmFit(model,k=3,sw=rep(TRUE,12)) summary(mod) I need seek on the following: (a) how to get the output on...
  4. E

    Exogenous Regime Switching

    I currently have a model that measures inflation expectations as follows: y(t) = a*x(t) + (1-a)*y(t-1) I'm looking to create a regime switching models that change the values of "a" based upon a shock to an exogenous variable (let's say "z(t)"). Are there any methods which estimate the...