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Regime-Switching Models: A Guide to the Bank of Canada Gauss Procedures

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Author Info
Simon van Norden
Robert Vigfusson

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Abstract

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

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Publisher Info
Paper provided by EconWPA in its series Econometrics with number 9603004.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length: 22 pages
Date of creation: 19 Mar 1996
Date of revision:
Handle: RePEc:wpa:wuwpem:9603004

Note: 22 printed pages, compressed PostScript file. Other recent Bank of Canada working papers are listed on the last page of this report.
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Web page: http://129.3.20.41

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Find related papers by JEL classification:
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General
C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
C5 - Mathematical and Quantitative Methods - - Econometric Modeling
C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

References listed on IDEAS
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.:

  1. 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. [Downloadable!] (restricted)
  2. 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. [Downloadable!] (restricted)
  3. Engel, Charles, 1994. "Can the Markov switching model forecast exchange rates?," Journal of International Economics, Elsevier, vol. 36(1-2), pages 151-165, February. [Downloadable!] (restricted)
    Other versions:
  4. 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.
  5. Alain DeSerres & Alain Guay & Pierre St-Amant, 1995. "Estimating and Projecting Potential Output Using Structural VAR Methodology," Macroeconomics 9504003, EconWPA. [Downloadable!]
  6. Joseph Atta-Mensah, 1996. "The Empirical Performance of Alternative Monetary and Liquidity Aggregates," Macroeconomics 9601001, EconWPA. [Downloadable!]
  7. Jeff Gable & Simon van Norden & Robert Vigfusson, . "Analytical Derivatives for Markov Switching Models," Working Papers 95-7, Bank of Canada. [Downloadable!]
    Other versions:
  8. 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. [Downloadable!]
    Other versions:
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Cited by:
(explanations, 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.)

  1. David Jamieson Bolder, 2002. "Towards a More Complete Debt Strategy Simulation Framework," Working Papers 02-13, Bank of Canada. [Downloadable!]
  2. Isabelle Weberpals, 1997. "The Liquidity Trap: Evidence from Japan," Working Papers 97-4, Bank of Canada. [Downloadable!]
  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. [Downloadable!]
  4. Simon van Norden & Robert Vigfusson, 1996. "Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?," Meeting papers 9603001, EconWPA. [Downloadable!]
    Other versions:
  5. 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. [Downloadable!]
  6. 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. [Downloadable!]
  7. Ryan SULEIMANN, 2003. "New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach," Econometrics 0307003, EconWPA, revised 18 Jul 2003. [Downloadable!]
  8. T.-W. Ho, 2003. "Regime-switching properties of the optimal seigniorage hypothesis: the case of Taiwan," Applied Economics, Taylor and Francis Journals, vol. 35(4), pages 485-494, January. [Downloadable!] (restricted)
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