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Regime-Switching Models, A guide to the Bank of Canada Gauss Procedures

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Author Info

  • Van Norden, S.
  • Vigfusson, R.

Abstract

This paper is a user' guide to a set of Guss procedures developed at the Bank of Canada for estimating regime-switching models. The procedure can estimate relatively quickly a wide variety of switching models and so should prove useful to the applied researchers. Sample program listings are included.

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File URL: http://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-3.pdf
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Bibliographic Info

Paper provided by Bank of Canada in its series Working Papers with number 96-3.

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Length: 22 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:bca:bocawp:96-3

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Postal: 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada
Phone: 613 782-8845
Fax: 613 782-8874
Web page: http://www.bank-banque-canada.ca/

Related research

Keywords: EVALUATION; COMPUTER PROGRAMMES; ECONOMIC MODELS;

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References

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  1. Durland, J Michael & McCurdy, Thomas H, 1994. "Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 279-88, July.
  2. Engel, Charles & Hamilton, James D, 1990. "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?," American Economic Review, American Economic Association, vol. 80(4), pages 689-713, September.
  3. Charles Engel, 1991. "Can the Markov switching model forecast exchange rates?," Research Working Paper 91-04, Federal Reserve Bank of Kansas City.
  4. Jeff Gable & Simon van Norden & Robert Vigfusson, . "Analytical Derivatives for Markov Switching Models," Working Papers 95-7, Bank of Canada.
  5. Francis X. Diebold & Joon-Haeng Lee & Gretchen C. Weinbach, 1993. "Regime switching with time-varying transition probabilities," Working Papers 93-12, Federal Reserve Bank of Philadelphia.
  6. Joseph Atta-Mensah, 1996. "The Empirical Performance of Alternative Monetary and Liquidity Aggregates," Macroeconomics 9601001, EconWPA.
  7. Alain DeSerres & Alain Guay & Pierre St-Amant, 1995. "Estimating and Projecting Potential Output Using Structural VAR Methodology," Macroeconomics 9504003, EconWPA.
  8. Hansen, Bruce E, 1992. "The Likelihood Ratio Test under Nonstandard Conditions: Testing the Markov Switching Model of GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S61-82, Suppl. De.
  9. St-Amant, P., 1996. "Decomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest rates Using Structural VAR Methodology," Working Papers 96-2, Bank of Canada.
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Citations

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Cited by:
  1. Maurice J. Roche, 1999. "Irish house prices: will the roof fall in?," Economics, Finance and Accounting Department Working Paper Series n890699, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  2. Isabelle Weberpals, 1997. "The Liquidity Trap: Evidence from Japan," Working Papers 97-4, Bank of Canada.
  3. Ryan SULEIMANN, 2003. "The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach," Econometrics 0307002, EconWPA, revised 18 Jul 2003.
  4. Jeanne, Olivier & Masson, Paul, 2000. "Currency crises, sunspots and Markov-switching regimes," Journal of International Economics, Elsevier, vol. 50(2), pages 327-350, April.
  5. Vigfusson, R. & Van Norden, S., 1996. "Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?," Working Papers 96-11, Bank of Canada.
  6. Maurice J. Roche, 1999. "Irish House Prices - Will the Roof Cave In?," The Economic and Social Review, Economic and Social Studies, vol. 30(4), pages 343-362.
  7. David Jamieson Bolder, 2002. "Towards a More Complete Debt Strategy Simulation Framework," Working Papers 02-13, Bank of Canada.
  8. Tsung-wu Ho, 2001. "Analyzing the Crowding-out Problems of Taiwan," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 26(1), pages 115-131, June.
  9. Ryan SULEIMANN, 2003. "New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach," Econometrics 0307003, EconWPA, revised 18 Jul 2003.
  10. Ryan SULEIMANN, 2003. "Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach," Econometrics 0307004, EconWPA, revised 18 Jul 2003.
  11. T. -W. Ho, 2003. "Regime-switching properties of the optimal seigniorage hypothesis: the case of Taiwan," Applied Economics, Taylor & Francis Journals, vol. 35(4), pages 485-494.
  12. Roche, Maurice J., 2001. "The rise in house prices in Dublin: bubble, fad or just fundamentals," Economic Modelling, Elsevier, vol. 18(2), pages 281-295, April.

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