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MSVARlib: a new Gauss library to estimate multivariate Hidden Markov Models

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  • Benoit Bellone

    (Direction de la Prévision et de l'analyse économique)

Abstract

This paper introduces a new open source Gauss library to estimate Multivariate Hidden Markov Models (HMM) in their simpler specification. These new programs are based upon the works of Hamilton (1994) and Krolzig (1998) and allow assessment of models with 2, 3 or 4 states through classical optimization of the maximum likelihood method. The modular architecture of the program is presented in a first part. It has been designed to allow new improvements (generalized non linear MS models or enhancement to a Bayesian framework). A second part, gives some illustration through a three state model based on the American Industrial production and a new stochastic coincident indicator of a recession for the US economy, following the papers of Ferrara (2003), Bellone and Saint-Martin (2003) and Bellone (2004).

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Bibliographic Info

Paper provided by EconWPA in its series Econometrics with number 0406004.

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Length: 21 pages
Date of creation: 25 Jun 2004
Date of revision:
Handle: RePEc:wpa:wuwpem:0406004

Note: Type of Document - pdf; pages: 21
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  1. Ferrara, Laurent, 2003. "A three-regime real-time indicator for the US economy," Economics Letters, Elsevier, vol. 81(3), pages 373-378, December.
  2. Anas, Jacques & Ferrara, Laurent, 2002. "Un indicateur d'entrée et sortie de récession: application aux Etats-Unis
    [A start-end recession index: Application for United-States]
    ," MPRA Paper 4043, University Library of Munich, Germany.
  3. Benoit Bellone, 2004. "Une lecture probabiliste du cycle d’affaires américain," Econometrics 0407002, EconWPA, revised 28 Mar 2005.
  4. Eva Andersson & David Bock & Marianne Frisén, 2004. "Detection of Turning Points in Business Cycles," Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, vol. 2004(1), pages 93-108.
  5. Albert, James H & Chib, Siddhartha, 1993. "Bayes Inference via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 1-15, January.
  6. Benoit Bellone & David Saint-Martin, 2004. "Detecting Turning Points with Many Predictors through Hidden Markov Models," Econometrics 0407001, EconWPA.
  7. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
  8. Marcelle Chauvet & Jeremy Piger, 2002. "Identifying business cycle turning points in real time," Working Paper 2002-27, Federal Reserve Bank of Atlanta.
  9. Nicolas Chopin, 2001. "Sequential Inference and State Number Determination for Discrete State-Space Models through Particle Filtering," Working Papers 2001-34, Centre de Recherche en Economie et Statistique.
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Cited by:
  1. Benoît Bellone & Erwan Gautier & Sébastien Le Coent, 2006. "Les marchés financiers anticipent-ils les retournements conjoncturels ?," Économie et Prévision, Programme National Persée, vol. 172(1), pages 83-99.
  2. Benoit Bellone, 2005. "Classical Estimation of Multivariate Markov-Switching Models using MSVARlib," Econometrics 0508017, EconWPA.

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