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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  

Simon van Norden

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

Robert Vigfusson

Federal Reserve Board - Trade and Quantitative Studies

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

van Norden, Simon and Vigfusson, Robert, 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

Simon Van Norden (Contact Author)

HEC Montreal - Department of Finance ( email )

3000 Chemin de la Cote-Sainte-Catherine
Montreal, Quebec H3T 2A7
Canada
514-340-6781 (Phone)
514-340-5632 (Fax)

HOME PAGE: http://svannorden.org

CIRANO ( email )

2020 rue University, 25th floor
Montreal H3C 3J7, Quebec
Canada

HOME PAGE: http://svannorden.org

University of Montreal - Center for Interuniversity Research in Econometrics ( email )

C.P. 6128, Succursale Centre-ville
Montreal, Quebec H3C 3J7
Canada

Robert John Vigfusson

Federal Reserve Board - Trade and Quantitative Studies ( email )

20th St. and Constitution Ave.
Washington, DC 20551
United States

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