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

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Replication file for Filardo(1994), "Business Cycle Phases and Their Transitional Dynamics", JBES, vol 12, no 3, 299-308. Demonstrates use of MSVARSetup with transition probabilities depending upon exogenous variables.

Language: RATS
Requires: RATS 7.10
Keywords: Markov; switching (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/filardojbes1994.zip (application/zip)

Related works:
Journal Article: Business-Cycle Phases and Their Transitional Dynamics (1994)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00059

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