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Code and Data

User’s Note

This is where you can find code and/or data sets that I’ve built for past research projects. This material is copyrighted; please feel free to use it for your non-profit research. Acknowledgements and citations to this work are warmly appreciated. This material is unsupported. Looking for something that you can’t find? Let me know via the comments section below….I’ve probably overlooked it.

Switching Regressions

Code for switching regressions and Markov mixture models. The original documentation is van Norden and Vigfusson (1996) and the derivation of the analytic derivatives for Markov Switching Regressions was published in Gable, van Norden and Vigfusson (1997). The code was then extended somewhat for van Norden and Vigfusson (1998).  It was originally designed to run in GAUSS 4.0. It should work fine under more recent versions of GAUSS, with the possible exception of the external C code (I’m not sure whether the GAUSS foreign language interface has since changed.)

The code has a few nice features;

  • handles arbitrary numbers of explanatory variables in either regime.
  • fast estimation of state-independent (i.e. simple switching) models with arbitrary numbers of explanatory variables in either regime.
  • allows for time-varying Markovian transition probabilities with arbitrary numbers of explanatory variables in either regime.
  • time-varying regime classification and transition probabilities with arbitrary numbers of explanatory variables in either regime.
  • analytic derivatives
  • external C-code for speed increase in Markov models (don’t know whether this still works.)

Output Gaps

Code for Output Gaps

This is a collection of RATS and GAUSS programs and utilities, as well as the real-time real output data from the FRB Philadelphia.

Real-Time US Output Gaps

These are the gaps that were used in Orphanides and van Norden (2002) and Orphanides and van Norden (2005) and have been sporadically updated since. The main database is in RATS data format. There is also a data file in a text format (I think its an old TROLL format) in case you have trouble finding something to read RATS.

Real-Time Canadian Output Gaps

These are the gaps and the code that were used in Cayen and van Norden (2005) and may have been updated since.

Real-Time Labour Productivity

Coming soon.

HP Filter

I wrote GAUSS code for the Hodrick Prescott filter early on when I started working on output gaps.

Unit Roots and Cointegration

This is mostly RATS code written in the late 1980s and early 1990s. Estima has written much code since then. You should really think twice before using this code.

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