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Statistical and Econometrical Tools: Lima, February 2010

The document outlines statistical and econometric tools, including Vector AutoRegression (VAR) models, regime-switching models, and importance sampling. It describes VAR models, the components needed to estimate a regime-switching model, and how importance sampling can be used to generate realizations in the tail of a distribution rather than the center. Code files for implementing these models in MATLAB are also referenced.

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Luis Ricardo Vigo Verastegui
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© © All Rights Reserved
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57 views

Statistical and Econometrical Tools: Lima, February 2010

The document outlines statistical and econometric tools, including Vector AutoRegression (VAR) models, regime-switching models, and importance sampling. It describes VAR models, the components needed to estimate a regime-switching model, and how importance sampling can be used to generate realizations in the tail of a distribution rather than the center. Code files for implementing these models in MATLAB are also referenced.

Uploaded by

Luis Ricardo Vigo Verastegui
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Statistical and Econometrical Tools

(background Information)

Lima, February 2010


Fernando Monar & Ken Nyholm

Outline
Vector AutoRegression (VAR) models
Regime-switching
Importance sampling

(c) Monar & Nyholm

VAR models

(c) Monar & Nyholm

VAR models

(c) Monar & Nyholm

VAR models

(c) Monar & Nyholm

VAR models

(c) Monar & Nyholm

VAR models

(c) Monar & Nyholm

VAR models

(c) Monar & Nyholm

Regime-switching

3
2
1
0
-1
-2
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-4
1

(c) Monar & Nyholm

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91 101 111 121 131 141 151 161 171 181 191

Regime-switching

(c) Monar & Nyholm

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Regime-switching

(c) Monar & Nyholm

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Regime-switching

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Regime-switching

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Regime-switching

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Regime-switching
To estimate a regime-switching model the
following is needed:

This is implemented in regime.m,


regime_likeli.m, regime_normaldensity.m,
regime_pmat.m
(c) Monar & Nyholm

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Importance Sampling

But we might be interested in metrics


relating to the tail of a distribution
(c) Monar & Nyholm

Traditional simulation generates


most realisations in this area
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Importance Sampling

(c) Monar & Nyholm

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Importance Sampling

(c) Monar & Nyholm

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Importance Sampling

(c) Monar & Nyholm

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