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.|
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- Pierre St-Amant, 1996.
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- Jeff Gable & Simon van Norden & Robert Vigfusson, 1995.
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GE, Growth, Math methods
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Journal of Business & Economic Statistics,
American Statistical Association, vol. 12(3), pages 279-88, July.
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- Charles Engel, 1992.
"Can the Markov Switching Model Forecast Exchange Rates?,"
NBER Working Papers
4210, National Bureau of Economic Research, Inc.
- 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, 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.
- Joseph Atta-Mensah, 1996. "The Empirical Performance of Alternative Monetary and Liquidity Aggregates," Macroeconomics 9601001, EconWPA.
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