FILARDOJBES1994: RATS programs to replicate Filardo JBES 1994 paper with time-varying Markov switching

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Example provided by Kim and Nelson of a Markov Switching model with time-varying transition probabilities (TVTP). Based upon Filardo(1994), "Business Cycle Phases and Their Transitional Dynamics", JBES, vol 12, no 3, 299-308 with a different data set.

Language: RATS
Requires: RATS 11.00
Keywords: Markov; switching (search for similar items in EconPapers)
Date: 2026-01-02
Note: An RPRJ is a specialized zip file including one or more program files and data files. See https://estima.com/ratsfiletypes.shtml
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Downloads: (external link)
https://estima.com/procedures/FilardoJBES1994.rprj (application/zip)

Related works:
Journal Article: Business-Cycle Phases and Their Transitional Dynamics (1994)
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