RATS programs to replicate Dueker(2005) JBES dynamic probit model

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: A rough implementation of Dueker (2005), "Dynamic Forecasts of Qualitative Variables: A Qual VAR Model of U.S. Recessions", JBES, vol 23, no 1, 96-104, which estimates a VAR with a "probit" equation using Gibbs sampling. (The data set has a version of the FedFunds rate from a different source, and uses the GDP deflator rather than the CPI)

Language: RATS
Requires: RATS 7.30
Keywords: Dynamic; probit; model (search for similar items in EconPapers)
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Downloads: (external link)
https://www.estima.com/procs_perl/dueker_jbes2005.zip (application/zip)

Related works:
Journal Article: Dynamic Forecasts of Qualitative Variables: A Qual VAR Model of U.S. Recessions (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00049

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