Krolzig MSVAR Examples

[TomDoan]

These are replication file for Krolzig's "International Business Cycles: Regime Shifts in the Stochastic Process of Economic Growth", Oxford University Discussion Paper. This estimates a variety of six variable Markov Switching VAR's with differing numbers of states, lags and other settings. They are all done using the file MSVARSETUP and procedures included in it. The use of these is described in greater detail in the switching models e-course: for more information see

http://www.estima.com/forum/viewtopic.php?f=24&t=1185

In general, the multivariate models get more complicated as you go from pt1 to pt7. All but one of these uses switching means (Hamilton style switching) which is much more complicated than switching intercepts---it requires augmenting regimes since the current residual depends upon current and lagged regimes. The final example is a 3 regime, 4 lag model, which has 3^(4+1)=125 branches in the likelihood. This takes quite a long time to estimate.

wbc.xls

Data file

(48 KiB) Downloaded 894 times

wbc_univariate.rpf

Univariate MS models

(2.88 KiB) Downloaded 1201 times

wbc_multivariate_pt1.rpf

MS(2)-VAR(1) model

(3.01 KiB) Downloaded 1188 times

wbc_multivariate_pt2.rpf

MS(2)-VAR(1), heteroscedastic model

(2.48 KiB) Downloaded 1175 times

wbc_multivariate_pt3.rpf

MS(2)-VAR(1), shifts in intercept

(2.3 KiB) Downloaded 1275 times

wbc_multivariate_pt4.rpf

MS(2)-VAR(4) model

(2.16 KiB) Downloaded 1172 times

wbc_multivariate_pt5.rpf

MS(2)-VAR(4), heteroscedastic

(2.15 KiB) Downloaded 1183 times

wbc_multivariate_pt6.rpf

MS(3)-VAR(1), heteroscedastic

(3.11 KiB) Downloaded 1171 times

wbc_multivariate_pt7.rpf

MS(3)-VAR(4), heteroscedastic

(2.18 KiB) Downloaded 1230 times

[flopez2011]

Dear Tom, are these Krolzig example files the same coming into WinRats 8.1?...Best regards

[TomDoan]

Dear Tom, are these Krolzig example files the same coming into WinRats 8.1?...Best regards

A few of them have been corrected to use the variables from the newest versions of MSVARSETUP.