Regime-Switching Models: A Guide to the Bank of Canada Gauss Procedures
This paper is a user's guide to a set of Gauss procedures developed at the Bank of Canada for estimating regime-switching models. The procedures can estimate relatively quickly a wide variety of switching models and so should prove useful to the applied researcher. Sample program listings are included.
|Date of creation:||19 Mar 1996|
|Date of revision:|
|Note:||22 printed pages, compressed PostScript file. Other recent Bank of Canada working papers are listed on the last page of this report.|
|Contact details of provider:|| Web page: http://econwpa.repec.org|
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.:
- St-Amant, P., 1996.
"Decomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest rates Using Structural VAR Methodology,"
96-2, Bank of Canada.
- Pierre St-Amant, 1996. "Decomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest Rates Using Structural VAR Methodology," Macroeconomics 9602004, EconWPA.
- Engel, Charles & Hamilton, James D, 1990. "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?," American Economic Review, American Economic Association, vol. 80(4), pages 689-713, September.
- Joseph Atta-Mensah, 1996. "The Empirical Performance of Alternative Monetary and Liquidity Aggregates," Macroeconomics 9601001, EconWPA.
- Alain DeSerres & Alain Guay & Pierre St-Amant, 1995. "Estimating and Projecting Potential Output Using Structural VAR Methodology," Macroeconomics 9504003, EconWPA.
- Durland, J Michael & McCurdy, Thomas H, 1994.
"Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 12(3), pages 279-88, July.
- J. Michael Durland & Thomas H. McCurdy, 1993. "Duration Dependent Transitions in a Markov Model of U.S. GNP Growth," Working Papers 887, Queen's University, Department of Economics.
- Jeff Gable & Simon van Norden & Robert Vigfusson, 1995.
"Analytical Derivatives for Markov Switching Models,"
GE, Growth, Math methods
- Gable, Jeff & van Norden, Simon & Vigfusson, Robert, 1997. "Analytical Derivatives for Markov Switching Models," Computational Economics, Society for Computational Economics, vol. 10(2), pages 187-94, May.
- Jeff Gable & Simon van Norden & Robert Vigfusson, . "Analytical Derivatives for Markov Switching Models," Working Papers 95-7, Bank of Canada.
- Francis X. Diebold & Joon-Haeng Lee & Gretchen C. Weinbach, 1993. "Regime switching with time-varying transition probabilities," Working Papers 93-12, Federal Reserve Bank of Philadelphia.
- Engel, Charles, 1994.
"Can the Markov switching model forecast exchange rates?,"
Journal of International Economics,
Elsevier, vol. 36(1-2), pages 151-165, February.
- Charles Engel, 1992. "Can the Markov Switching Model Forecast Exchange Rates?," NBER Working Papers 4210, National Bureau of Economic Research, Inc.
- Charles Engel, 1991. "Can the Markov switching model forecast exchange rates?," Research Working Paper 91-04, Federal Reserve Bank of Kansas City.
- Hansen, Bruce E, 1992. "The Likelihood Ratio Test under Nonstandard Conditions: Testing the Markov Switching Model of GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S61-82, Suppl. De.
When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpem:9603004. 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.