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RATS programs to replicate Filardo JBES 1994 paper with time-varying Markov switching

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

Replication file for Filardo(1994), "Business Cycle Phases and Their Transitional Dynamics", JBES, vol 12, no 3, 299-308. Demonstrates use of MSVARSetup with transition probabilities depending upon exogenous variables.

Suggested Citation

  • Tom Doan, "undated". "RATS programs to replicate Filardo JBES 1994 paper with time-varying Markov switching," Statistical Software Components RTZ00059, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rtz00059
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
    as

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    File URL: https://www.estima.com/procs_perl/filardojbes1994.zip
    Download Restriction: no
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    Keywords

    Markov switching; RATS;

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