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Classical Estimation of Multivariate Markov-Switching Models using MSVARlib

  • BENOIT BELLONE

    (OECD)

This paper introduces an upgraded version of MSVARlib, a Gauss and Ox- Gauss compliant library, focusing on Multivariate Markov Switching Regressions in their most general specification. This new set of procedures allows to estimate, through classical optimization methods, models belonging to the MSI(M)(AH)-VARX ``intercept regime dependent'' family. This research enhances the first package MSVARlib 1.1, which has been deeply inspired by the works of Hamilton and Krolzig. Not to mention the extension to a generalized multivariate regression framework, it notably augments the range of models with a possibly unlimited finite number of Markov states, offers automatic or manual intialization procedures and adds new statistical tests. The first part of this article provides the basic theoretical grounds of the related Markov-switching models. Following sections give some illustrations of the programs through univariate and multivariate examples. One is based on a non-linear reading of the american unemployment rate. A second study is focused on coincident stochastic models of US recessions and slowdowns. The paper concludes on possible extensions and new applications. Detailed guidelines in appendices and tutorial programs are provided to help the reader handling the Gauss package and the joined replication files.

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File URL: http://econwpa.repec.org/eps/em/papers/0508/0508017.pdf
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Paper provided by EconWPA in its series Econometrics with number 0508017.

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Length: 27 pages
Date of creation: 19 Aug 2005
Date of revision:
Handle: RePEc:wpa:wuwpem:0508017
Note: Type of Document - pdf; pages: 27. Gauss programs, compatible with 3.2 Versions or upper. A complete Gauss library to estimate MSVAR models or Markov switching regressions. Codes, data and programs available at http://bellone.ensae.net
Contact details of provider: Web page: http://econwpa.repec.org

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  1. Marine Carrasco & Liang Hu, 2004. "Optimal test for Markov switching," 2004 Meeting Papers 374, Society for Economic Dynamics.
  2. Daniel E. Sichel, 1992. "Inventories and the three phases of the business cycle," Working Paper Series / Economic Activity Section 128, Board of Governors of the Federal Reserve System (U.S.).
  3. Jean-Pierre Urbain & Sébastien Laurent, 2005. "Bridging the gap between Ox and Gauss using OxGauss," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(1), pages 131-139.
  4. 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.
  5. Ferrara, Laurent, 2003. "A three-regime real-time indicator for the US economy," Economics Letters, Elsevier, vol. 81(3), pages 373-378, December.
  6. Mike Artis & Hans-Martin Krolzig & Juan Toro, 2004. "The European business cycle," Oxford Economic Papers, Oxford University Press, vol. 56(1), pages 1-44, January.
  7. James D. Hamilton, 2005. "What's Real About the Business Cycle?," NBER Working Papers 11161, National Bureau of Economic Research, Inc.
  8. 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.
  9. Philip Rothman, . "Forecasting Asymmetric Unemployment Rates," Working Papers 9618, East Carolina University, Department of Economics.
  10. Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262112388, June.
  11. 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.
  12. Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January.
  13. Benoit Bellone, 2004. "MSVARlib: a new Gauss library to estimate multivariate Hidden Markov Models," Econometrics 0406004, EconWPA.
  14. Benoit Bellone & David Saint-Martin, 2004. "Detecting Turning Points with Many Predictors through Hidden Markov Models," Econometrics 0407001, EconWPA.
  15. Hansen, Bruce E., 1992. "Testing for parameter instability in linear models," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 517-533, August.
  16. 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.
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