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RATS programs to replicate Dueker(2005) JBES dynamic probit model

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

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)

Suggested Citation

  • Tom Doan, "undated". "RATS programs to replicate Dueker(2005) JBES dynamic probit model," Statistical Software Components RTZ00049, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rtz00049
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    File URL: https://www.estima.com/procs_perl/dueker_jbes2005.zip
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    Keywords

    Dynamic probit model; RATS;

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