• Question 1: I wonder whether or not there is a Stata program for the estimation of regime-switching models such as Hamilton (1990) in the Journal of Econometrics.
• Question 2: I'm not clear as to how to interprete the output in Stata, especially the table of probabilities of belonging to the first regime.

• Question 3: how do I determine if indeed there exists two regimes.
• Question 4: Are there any tests I need to perform or it comes straight from the regressions.

[此贴子已经被作者于2005-3-8 15:53:01编辑过]

This section contains GAUSS code that computes a simple regime-switching model. GAUSS is distributed by Aptech Systems Inc, Ph. (206) 432-7855; Fax. (206) 432-7832. The code attached below requires the basic GAUSS system plus the constrained maximum likelihood (CML) module.

The model is of the form:

p_t follows the recursive process described in Gray (1995, 1996).

Four files are needed to illustrate the program:

• REGIME.PRG is a GAUSS program file that estimates the regime-switching model described above.
• REGIME.OUT is the output from REGIME.PRG.

• REGIME.DAT is the data set used to illustrate the program. It consists of two columns, the first of which is a series of dates in yymmdd format and the second of which is a monthly series of US one-month T-Bill (short) rates. Where the short rate is denoted by r_t, the data used in the regime-switching model above are changes in percentage interest rates where y_t=100(r_t-r_t-1).

• SMOOTH.PRC is a GAUSS procedure that converts the ex ante regime probabilities (conditional only on available information) into the smoothed probabilities (conditional on the entire data set). This filtering procedure is described in Gray (1996) "An analysis of conditional regime-switching models"

These files are all plain text files. To obtain them, click on the DOWNLOAD icon below, and follow the prompts from your web browser. Although the file is currently called REGIME.XLS, you should save it as REGIME.EXE. (Due to the idiosyncracies of the Duke server, you can't download a .EXE file). Run this file by double clicking on its icon from within the windows file manager, or by running the file from within your operating system (e.g. from within the appropriate directory in DOS just type REGIME and hit RETURN.

In addition, the program file REGIME.PRG uses some GAUSS utilities that are contained in my DATANAL utility. This is a collection of GAUSS subroutines that creates time series plots and various forms of data analysis.

DATANAL

The DATANAL utility contains GAUSS routines for plotting time series, computing a whole range of summary and specification test statistics and some miscellaneous routines that do things like convert a daily data set into a weekly data set. A number of files are included in the package:

• README.TXT contains installation instruction and comprehensive documentation for all of the utilities.
• GINSTALL.BAT is a DOS batch file that automatically installs the GAUSS procedures to the correct directories.

• The DATANAL.* files contain the source code.

These files are all plain text files. To obtain them, click on the DOWNLOAD icon below, and follow the prompts from your web browser. Although the file is currently called UTILITY.XLS, you should save it as UTILITY.EXE. (Due to the idiosyncracies of the Duke server, you can't download a .EXE file). You may want to save this file in a temporary directory (c:\temp) because you can delete it after installation. Run this file by double clicking on its icon from within the windows file manager, or by running the file from within your operating system (e.g. from within the appropriate directory in DOS just type UTILITY and hit RETURN). Look at the README.TXT file for final installation instructions.

DATANAL

The DATANAL utility contains GAUSS routines for plotting time series, computing a whole range of summary and specification test statistics and some miscellaneous routines that do things like convert a daily data set into a weekly data set. A number of files are included in the package:

• README.TXT contains installation instruction and comprehensive documentation for all of the utilities.

• GINSTALL.BAT is a DOS batch file that automatically installs the GAUSS procedures to the correct directories.

• The DATANAL.* files contain the source code.

These files are all plain text files. To obtain them, click on the DOWNLOAD icon below, and follow the prompts from your web browser. Although the file is currently called UTILITY.XLS, you should save it as UTILITY.EXE. (Due to the idiosyncracies of the Duke server, you can't download a .EXE file). You may want to save this file in a temporary directory (c:\temp) because you can delete it after installation. Run this file by double clicking on its icon from within the windows file manager, or by running the file from within your operating system (e.g. from within the appropriate directory in DOS just type UTILITY and hit RETURN). Look at the README.TXT file for final installation instructions.

Computer Programs and Data to Accompany

Chapter 3 - State-Space Models and the Kalman Filter

Chapter 4 - Markov-Switching Models

Chapter 5 - State-Space Models with Markov-Switching

Chapter 6 - State-Space Models with Heteroskedastic Disturbances

Chapter 7 - An Introduction to Bayesian Inference and Gibbs Sampling

Chapter 8 - State-Space Models and Gibbs Sampling

Chapter 9 - Markov-Switching Models and Gibbs Sampling

Chapter 10 - State-Space Models with Markov-Switching and Gibbs Sampling

Chapter 11 - Gibbs Sampling and Parameter Uncertainty: Testing for Mean Reversion in Heteroskedastic Data