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FILARDOJBES1994: RATS programs to replicate Filardo JBES 1994 paper with time-varying Markov switching

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  • Tom Doan

    (Estima)

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Abstract

Example provided by Kim and Nelson of a Markov Switching model with time-varying transition probabilities (TVTP). Based upon Filardo(1994), "Business Cycle Phases and Their Transitional Dynamics", JBES, vol 12, no 3, 299-308 with a different data set.

Suggested Citation

  • Tom Doan, 2026. "FILARDOJBES1994: RATS programs to replicate Filardo JBES 1994 paper with time-varying Markov switching," Statistical Software Components RTJ00015, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rtj00015
    Note: An RPRJ is a specialized zip file including one or more program files and data files. See https://estima.com/ratsfiletypes.shtml
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