MSVARlib: a new Gauss library to estimate multivariate Hidden Markov Models
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- Sébastien Le Coent & Erwan Gautier & Benoît Bellone, 2006. "Les marchés financiers anticipent-ils les retournements conjoncturels ?," Économie et Prévision, Programme National Persée, vol. 172(1), pages 83-99.
- Bellone, B. & Gautier, E. & Le Coent, S., 2005. "Les marchés financiers anticipent-ils les retournements conjoncturels?," Working papers 128, Banque de France.
- Xiaowei Cai & Kyle Stiegert & Stephen Koontz, 2011.
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- Cai, Xiaowei & Stiegert, Kyle W. & Coonz, Steven R., 2010. "Regime Switching and Oligopsony Power: The Case of U.S. Beef Processing," Working Papers 201442, University of Wisconsin-Madison, Department of Agricultural and Applied Economics, Food System Research Group.
- Benoit Bellone, 2005. "Classical Estimation of Multivariate Markov-Switching Models using MSVARlib," Econometrics 0508017, University Library of Munich, Germany.
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More about this item
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2004-06-27 (Computational Economics)
- NEP-ETS-2004-06-27 (Econometric Time Series)
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