Dynamic Forecasts of Qualitative Variables: A Qual VAR Model of U.S. Recessions
A rough implementation of Dueker (2005), "Dynamic Forecasts of Qualitative Variables: A Qual VAR Model of U.S. Recessions", JBES, vol 23, no 1, 96-104, which estimates a VAR with a "probit" equation using Gibbs sampling. (The data set has a version of the FedFunds rate from a different source, and uses the GDP deflator rather than the CPI)
(This abstract was borrowed from another version of this item.)
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Volume (Year): 23 (2005)
Issue (Month): (January)
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References listed on IDEAS
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