The RATS Software Forum

This 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

Dear Tom,

Do have codes at hand for implementing the second application in Michael Dueker's original paper, i.e. including the Romer dates in a monetary VAR?

Thanks in advance

Peter

PTillmann-436 wrote:Dear Tom,

Do have codes at hand for implementing the second application in Michael Dueker's original paper, i.e. including the Romer dates in a monetary VAR?

Thanks in advance

Peter

It's the same general idea, but no.

Hello Tom,

I am using your codes for Dueker's Qual VAR in a different context and I am wondering if there is any way to check for convergence of the gibbs sampler as in Primiceri (2005): Time Varying Structural Vector Autoregressions and Monetary Policy.
Review of Economic Studies 72(3), 821–852.?

Looking forward for your reply,
With regards,

Lena