RATS programs to replicate Filardo JBES 1994 paper with time-varying Markov switching
AbstractReplication file for Filardo(1994), "Business Cycle Phases and Their Transitional Dynamics", JBES, vol 12, no 3, 299-308. Demonstrates use of MSVARSetup with transition probabilities depending upon exogenous variables.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTZ00059.
Programming language: RATS
Requires: RATS 7.10
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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Other versions of this item:
- Filardo, Andrew J, 1994. "Business-Cycle Phases and Their Transitional Dynamics," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 12(3), pages 299-308, July.
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