MSVARlib: a new Gauss library to estimate multivariate Hidden Markov Models
This paper introduces a new open source Gauss library to estimate Multivariate Hidden Markov Models (HMM) in their simpler specification. These new programs are based upon the works of Hamilton (1994) and Krolzig (1998) and allow assessment of models with 2, 3 or 4 states through classical optimization of the maximum likelihood method. The modular architecture of the program is presented in a first part. It has been designed to allow new improvements (generalized non linear MS models or enhancement to a Bayesian framework). A second part, gives some illustration through a three state model based on the American Industrial production and a new stochastic coincident indicator of a recession for the US economy, following the papers of Ferrara (2003), Bellone and Saint-Martin (2003) and Bellone (2004).
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Nicolas Chopin, 2001. "Sequential Inference and State Number Determination for Discrete State-Space Models through Particle Filtering," Working Papers 2001-34, Centre de Recherche en Economie et Statistique.
- Artis, Michael J & Krolzig, Hans-Martin & Toro, Juan, 1999.
"The European Business Cycle,"
CEPR Discussion Papers
2242, C.E.P.R. Discussion Papers.
- Mike Artis & Hans-Martin Krolzig & Juan Toro, 2002. "The European Business Cycle," Economic Working Papers at Centro de Estudios Andaluces E2002/19, Centro de Estudios Andaluces.
- Artis, M. & Krolzig, H.-M. & Toro, J., 1999. "The European Business Cycle," Economics Working Papers eco99/24, European University Institute.
- Benoit Bellone & David Saint-Martin, 2004. "Detecting Turning Points with Many Predictors through Hidden Markov Models," Econometrics 0407001, EconWPA.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
- Eva Andersson & David Bock & Marianne Frisén, 2004. "Detection of Turning Points in Business Cycles," Journal of Business Cycle Measurement and Analysis, OECD Publishing,Centre for International Research on Economic Tendency Surveys, vol. 2004(1), pages 93-108.
- Benoit Bellone, 2004. "Une lecture probabiliste du cycle d’affaires américain," Econometrics 0407002, EconWPA, revised 28 Mar 2005.
- Ferrara, Laurent, 2003. "A three-regime real-time indicator for the US economy," Economics Letters, Elsevier, vol. 81(3), pages 373-378, December.
- Anas, Jacques & Ferrara, Laurent, 2002.
"Un indicateur d'entrée et sortie de récession: application aux Etats-Unis
[A start-end recession index: Application for United-States]," MPRA Paper 4043, University Library of Munich, Germany.
- Albert, James H & Chib, Siddhartha, 1993. "Bayes Inference via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 1-15, January.
- Marcelle Chauvet & Jeremy M. Piger, 2003.
"Identifying business cycle turning points in real time,"
Federal Reserve Bank of St. Louis, issue Mar, pages 47-61.
- Marcelle Chauvet & Jeremy M. Piger, 2002. "Identifying business cycle turning points in real time," FRB Atlanta Working Paper 2002-27, Federal Reserve Bank of Atlanta.
When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpem:0406004. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA)
If references are entirely missing, you can add them using this form.