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Classical Estimation of Multivariate Markov-Switching Models using MSVARlib

BELLONE, BENOIT - EconWPA - 2005

This paper introduces an upgraded version of MSVARlib, a Gauss and Ox- Gauss compliant library, focusing on Multivariate Markov Switching Regressions in their most general specification. This new set of procedures allows to estimate, through classical optimization methods, models belonging to...

Persistent link: https://www.econbiz.de/10005407938

MSVARlib: a new Gauss library to estimate multivariate Hidden Markov Models

Bellone, Benoit - EconWPA - 2004

This paper introduces a new open source Gauss library to estimate Multivariate Hidden Markov Models (HMM) in their simpler specification. These new programs are based upon the works of Hamilton (1994) and Krolzig (1998) and allow assessment of models with 2, 3 or 4 states through classical...

Persistent link: https://www.econbiz.de/10005556349

Une lecture probabiliste du cycle d’affaires américain

Bellone, Benoit - EconWPA - 2004

This paper explores 35 years of the American business cycle with the Hidden Markov Model (HMM) as a monitoring tool using monthly data. It exhibits ten US time series, which offer reliable information to detect recessions in real time. It also assesses the performances of different and...

Persistent link: https://www.econbiz.de/10005119146

Detecting Turning Points with Many Predictors through Hidden Markov Models

Bellone, Benoit; Saint-Martin, David - EconWPA - 2004

This paper explores the American business cycle with the Hidden Markov Model (HMM) as a monitoring tool using monthly data. It exhibits ten US time series which offer reliable information to detect recessions in real time. It also proposes and assesses the performances of different and...

Persistent link: https://www.econbiz.de/10005119173

Aggregate investment dynamics when firms face fixed investment cost and capital market imperfections

Bayer, Christian - EconWPA - 2004

This paper analyzes a model of investment with fixed investment costs and capital market imperfections. In this model … finance influences the level of capital firms hold, as well as the frequency at which they invest. In consequence investment …, when the short-run investment function is estimated, liquidity has a significant impact, which is also strongest for strong …

Persistent link: https://www.econbiz.de/10005076705

MODELLING ECONOMIC FLUCTUATIONS IN SUBSAHARAN AFRICA:A VECTOR AUTOREGRESSIVE APPROACH

NWAOBI, DR. GODWIN CHUKWUDUM - EconWPA - 2004

trends in output, consumption and investment) to provide new evidence on this question(using subsaharan africa as a case …

Persistent link: https://www.econbiz.de/10005412719

Stock market returns and economic activity: evidence from wavelet analysis

Gallegati, Marco - EconWPA - 2005

In this paper we investigate the relationship between stock market returns and economic activity by using signal decomposition techniques based on wavelet analysis. In particular, we apply the maximum overlap discrete wavelet transform (MODWT) to the DJIA stock price index and the industrial...

Persistent link: https://www.econbiz.de/10005412645

Aggregate investment dynamics when firms face fixed investment cost and capital market imperfections

Bayer, Christian - EconWPA - 2004

In this paper a model of aggregate investment is derived which incorporates fixed investment costs and capital market … imperfections on the micro-level. Aggregate investment reacts nonlinearily with respect to aggregate shocks to productivity and …-run effect of liquidity on investment is found, which is inconsistent with models that explain the empirical correlation of …

Persistent link: https://www.econbiz.de/10005119110

Economia sintetica

Vildosola, Luis - EconWPA - 1998

Theoretical study identifying one modality with conditions necesary for the financial stabilization of an inherently unstable system; and 5040 other unstable dynamic modes. It draws on knowledge made available by the academic field of Control Engineering.

Persistent link: https://www.econbiz.de/10005125628

International Evidence on Output Fluctuation and Shock Persistence

Levy, Daniel; Dezhbakhsh, Hashem - EconWPA - 2004

measures of shock persistence and find both measures to vary considerably across countries, with the U.S. having the lowest …

Persistent link: https://www.econbiz.de/10005126132

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