MSVARlib: a new Gauss library to estimate multivariate Hidden Markov Models

Benoit Bellone ()

Econometrics from EconWPA

Abstract: This paper introduces a new open source Gauss library to estimate Multivariate Hidden Markov Models (HMM) in their simpler specification. These new programs are based upon the works of Hamilton (1994) and Krolzig (1998) and allow assessment of models with 2, 3 or 4 states through classical optimization of the maximum likelihood method. The modular architecture of the program is presented in a first part. It has been designed to allow new improvements (generalized non linear MS models or enhancement to a Bayesian framework). A second part, gives some illustration through a three state model based on the American Industrial production and a new stochastic coincident indicator of a recession for the US economy, following the papers of Ferrara (2003), Bellone and Saint-Martin (2003) and Bellone (2004).

JEL-codes: C32 E32 E44 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp and nep-ets
Date: 2004-06-25
Note: Type of Document - pdf; pages: 21
View list of references View citations in EconPapers

Downloads: (external link)
http://129.3.20.41/eps/em/papers/0406/0406004.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0406004

Access Statistics for this paper

More papers in Econometrics from EconWPA
Series data maintained by EconWPA ().