Dueker(2005) Qual VAR with dynamic probit variable
Posted: Mon Sep 12, 2011 1:41 pmThis is a rough implementation of Dueker (2005), "Dynamic Forecasts of Qualitative Variables: A Qual VAR Model of U.S. Recessions", Journal of Business and Economic Statistics, vol 23, no 1, 96-104. (The data set is slightly different).
There's a fairly long thread about this on the forum at http://www.estima.com/forum/viewtopic.php?f=4&t=769. It turns out that much of Dueker's paper actually rederives the Kalman smoother for a special case---once that is recognized, this is quite a bit simpler than it would appear.
A simpler case with the latent variable in a univariate AR is at http://www.estima.com/forum/viewtopic.php?f=8&t=1191
There's a fairly long thread about this on the forum at http://www.estima.com/forum/viewtopic.php?f=4&t=769. It turns out that much of Dueker's paper actually rederives the Kalman smoother for a special case---once that is recognized, this is quite a bit simpler than it would appear.
A simpler case with the latent variable in a univariate AR is at http://www.estima.com/forum/viewtopic.php?f=8&t=1191
qualvar.rpf- Program file
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- dueker.xls
- Data file
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