Regime-Switching Models: A Guide to the Bank of Canada Gauss Procedures

van Norden, Simon; Vigfusson, Robert J.

doi:10.2139/ssrn.50565

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Regime-Switching Models: A Guide to the Bank of Canada Gauss Procedures

Bank of Canada Working Paper 96-3

31 Pages Posted: 29 May 1996

See all articles by Simon van Norden

Simon van Norden

HEC Montreal - Department of Finance; CIRANO; University of Montreal - Center for Interuniversity Research in Econometrics

Robert J. Vigfusson

Board of Governors of the Federal Reserve System

Abstract

This paper is a user's guide to a set of Gauss procedures developed at the Bank of Canada for estimating regime-switching models. The procedures can estimate relatively quickly a wide variety of switching models and so should prove useful to the applied researcher. Sample program listings are included.

FRENCH VERSION La presente etude constitue un guide d'utilisation d'un ensemble de procedures de Gauss mises au point a la Banque du Canada en vue de l'estimation des modeles a changement de regime. Ces procedures permettent d'estimer de facon assez rapide une vaste gamme de modeles a changement de regime et devraient s'averer utiles pour la recherche appliquee. Des echantillons de programmes sont inclus dans l'etude.

JEL Classification: C87

Suggested Citation: Suggested Citation

van Norden, Simon and Vigfusson, Robert John, Regime-Switching Models: A Guide to the Bank of Canada Gauss Procedures. Bank of Canada Working Paper 96-3, Available at SSRN: https://ssrn.com/abstract=50565 or http://dx.doi.org/10.2139/ssrn.50565