Regime-Switching Models, A guide to the Bank of Canada Gauss Procedures
This paper is a user' guide to a set of Guss procedures developed at the Bank of Canada for estimating regime-switching models. The procedure can estimate relatively quickly a wide variety of switching models and so should prove useful to the applied researchers. Sample program listings are included.
|Date of creation:||1996|
|Date of revision:|
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Phone: 613 782-8845
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96-2, Bank of Canada.
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- Alain DeSerres & Alain Guay & Pierre St-Amant, 1995. "Estimating and Projecting Potential Output Using Structural VAR Methodology," Macroeconomics 9504003, EconWPA.
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- Joseph Atta-Mensah, 1996. "The Empirical Performance of Alternative Monetary and Liquidity Aggregates," Macroeconomics 9601001, EconWPA.
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