kim-filter

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PsychometricsMZ / Regime-switching

This repository contains the code for the submitted paper: Kento Okuyama, Tim Fabian Schaffland, Pascal Kilian, Holger Brandt, Augustin Kelava (2025). Frequentist forecasting in regime-switching models with extended Hamilton filter, available at https://arxiv.org/abs/2512.18149.

state-space forecasting frequentist regime-switching kim-filter

Updated Aug 6, 2026
Python

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