Regime-Switching Models: A Guide to the Bank of Canada Gauss Procedures
AbstractThis 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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Bibliographic InfoPaper provided by EconWPA in its series Econometrics with number 9603004.
Length: 22 pages
Date of creation: 19 Mar 1996
Date of revision:
Note: 22 printed pages, compressed PostScript file. Other recent Bank of Canada working papers are listed on the last page of this report.
Contact details of provider:
Web page: http://126.96.36.199
Other versions of this item:
- Van Norden, S. & Vigfusson, R., 1996. "Regime-Switching Models, A guide to the Bank of Canada Gauss Procedures," Working Papers 96-3, Bank of Canada.
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: 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
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