Regime-Switching Models: A Guide to the Bank of Canada Gauss Procedures

Simon van Norden () and Robert John Vigfusson ()

Econometrics from EconWPA

Abstract: 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.

JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 1996-03-19
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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Related works:
Working Paper: Regime-Switching Models, A guide to the Bank of Canada Gauss Procedures (1996)
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:9603004

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