This paper uses regime-switching econometrics to study stock market crashes and to explore the ability to two very different economic explanations to account for historical crashes.

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

Our paper reports on Monte Carlo experiments using Evans's data-generating process to gauge the performance of these two kinds of regime-switching tests.