Dynamic Forecasts of Qualitative Variables: A Qual VAR Model of U.S. Recessions
AbstractA rough implementation of Dueker (2005), "Dynamic Forecasts of Qualitative Variables: A Qual VAR Model of U.S. Recessions", JBES, vol 23, no 1, 96-104, which estimates a VAR with a "probit" equation using Gibbs sampling. (The data set has a version of the FedFunds rate from a different source, and uses the GDP deflator rather than the CPI)
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Bibliographic InfoArticle provided by American Statistical Association in its journal Journal of Business and Economic Statistics.
Volume (Year): 23 (2005)
Issue (Month): (January)
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Web page: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main
Other versions of this item:
- Michael J. Dueker, 2003. "Dynamic forecasts of qualitative variables: a Qual VAR model of U.S. recessions," Working Papers 2001-012, Federal Reserve Bank of St. Louis.
- Tom Doan, . "RATS programs to replicate Dueker(2005) JBES dynamic probit model," Statistical Software Components RTZ00049, Boston College Department of Economics.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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"Conditional heteroskedasticity in qualitative response models of time series: a Gibbs sampling approach to the bank prime rate,"
1998-011, Federal Reserve Bank of St. Louis.
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- James D. Hamilton & Oscar Jorda, 2000. "A Model for the Federal Funds Rate Target," NBER Working Papers 7847, National Bureau of Economic Research, Inc.
- Oscar Jorda & James D. Hamilton, 2003. "A model for the federal funds rate target," Working Papers 997, University of California, Davis, Department of Economics.
- James D. Hamilton & Oscar Jorda, . "A model for the federal funds rate target," Department of Economics 99-07, California Davis - Department of Economics.
- Carmen M. Reinhart & Graciela L. Kaminsky, 1999.
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- Eichengreen, Barry & Watson, Mark W & Grossman, Richard S, 1985. "Bank Rate Policy under the Interwar Gold Standard: A Dynamic Probit Model," Economic Journal, Royal Economic Society, vol. 95(379), pages 725-45, September.
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