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Krolzig MSVAR Examples

Posted: Wed Mar 07, 2012 1:02 pm
by 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 896 times
wbc_univariate.rpf
Univariate MS models
(2.88 KiB) Downloaded 1206 times
wbc_multivariate_pt1.rpf
MS(2)-VAR(1) model
(3.01 KiB) Downloaded 1191 times
wbc_multivariate_pt2.rpf
MS(2)-VAR(1), heteroscedastic model
(2.48 KiB) Downloaded 1179 times
wbc_multivariate_pt3.rpf
MS(2)-VAR(1), shifts in intercept
(2.3 KiB) Downloaded 1285 times
wbc_multivariate_pt4.rpf
MS(2)-VAR(4) model
(2.16 KiB) Downloaded 1177 times
wbc_multivariate_pt5.rpf
MS(2)-VAR(4), heteroscedastic
(2.15 KiB) Downloaded 1186 times
wbc_multivariate_pt6.rpf
MS(3)-VAR(1), heteroscedastic
(3.11 KiB) Downloaded 1176 times
wbc_multivariate_pt7.rpf
MS(3)-VAR(4), heteroscedastic
(2.18 KiB) Downloaded 1233 times

Re: Krolzig MSVAR Examples

Posted: Sat Mar 10, 2012 2:08 pm
by flopez2011
Dear Tom, are these Krolzig example files the same coming into WinRats 8.1?...Best regards

Re: Krolzig MSVAR Examples

Posted: Mon Mar 12, 2012 10:00 am
by TomDoan
flopez2011 wrote: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.