James Morley econometrics

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收藏 2010-05-02

James Morley’s Website published articles

“Changes in U.S. Inflation Persistence,” Studies in Nonlinear Dynamics & Econometrics with Kyu Ho Kang and Chang-Jin Kim

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sb_drift.prg (code)

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us_def_inf.txt (data file)

“The Slow Adjustment of Aggregate Consumption to Permanent Income,” Journal of Money, Credit, and Banking

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uc_yc.opt (Maximum likelihood estimation for unobserved components model of income and consumption. Replicates Table 3)

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yc.txt (data file)

“Detecting Shift-Contagion in Currency and Bond Markets,” Journal of International Economics (March 2006, vol. 68, pp. 409-423) with Toni Gravelle and Maral Kichian

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arbz_msm.opt (Maximum likelihood estimation for regime-switching model with switching mean. Replicates results for Argentian/Brazil case in Table 2)

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gsd_ms.opt (Maximum likelihood estimation for regime-switching model with constant mean. Replicates results for Germany/Sweden case in Table 2)

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bond.txt (bond yield data file)

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fx.txt (exchange rate data file)

“Nonlinearity and the Permanent Effects of Recessions,” Journal of Applied Econometrics (Special Issue on "Recent Developments in Business Cycle Analysis" 2005, vol. 20, pp. 291-309) with Chang-Jin Kim and Jeremy Piger

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pr_ar0.opt (Maximum likelihood estimation for bounceback model. Replicates Table 2 in paper)

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pr_ar2.opt (AR(2) version of bounceback model)

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gdp4703.txt (data file)

“Is There A Positive Relationship between Stock Market Volatility and the Equity Premium?” Journal of Money, Credit, and Banking (June 2004, part 1, vol. 36, no. 3, pp. 339-360) with Chang-Jin Kim and Charles R. Nelson

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vf_pru_a.opt (Maximum likelihood estimation for volatility feedback model with partial revelation and unrestricted feedback parameter. Replicates column 1 of Table 3a in paper. Straightforward to modify to more restrictive cases)

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vf_pru_b.opt (Replicates column 1 of Table 3b in paper)

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vf_fru_a.opt (Replicates column 1 of Table 4a in paper)

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vf_fru_b.opt (Replicates column 1 of Table 4b in paper)

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vwxs2000.txt (data file)

“Why Are Unobserved Component and Beveridge-Nelson Trend-Cycle Decompositions of GDP So Different?” Review of Economics and Statistics (May 2003, vol. 85, no. 2, pp. 235-243, lead article) with Charles R. Nelson and Eric Zivot

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uc_ur.opt (Maximum likelihood estimation for unobserved components model with correlated innovations. Replicates Table 4 in paper)

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arima212.opt (Maximum likelihood estimation for ARIMA(2,1,2) model. Replicates Table 2 in paper. The arima212.dta output file from this program can be used in the caluculation of the BN decomposition using bn.prg)

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bn.prg (Calculates the BN cycle. Replicates Figure 2 in paper. Makes use of state-space approach to calculating the BN decomposition discussed in Morley (2002))

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lngdpq.txt (data file -- Log real U.S. GDP for 1947:Q1-1998:Q2)

“Does an Intertemporal Tradeoff Between Risk and Return Explain Mean Reversion in Stock Prices?” Journal of Empirical Finance (September 2001, vol. 8, no. 4, pp. 403-426) with Chang-Jin Kim and Charles R. Nelson

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srfms.opt (Maximum likelihood estimation for Markov-switching model. Replicates Table 2 in paper)

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srtvp.opt (Maximum likelihood estimation for time-varying parameter model. Replicates Table 3 in paper)

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crspd96.txt (data file)

GAUSS Code

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xuehe

2010-5-2 21:09:06

Index of /Main/Code_files
Name Last modified Size Description
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Code.css 28-Jan-2010 21:30 7k

Code.js 28-Jan-2010 21:30 1k

CodeIE.css 20-Sep-2009 12:47 1k

CodeMoz.css 20-Sep-2009 12:47 1k

arbz_msm.opt 20-Sep-2009 12:47 31k

arima212.opt 20-Sep-2009 12:48 6k

bn.prg 20-Sep-2009 12:48 1k

bond.txt 20-Sep-2009 12:48 8k

crspd96.dat 20-Sep-2009 12:48 122k

fx.txt 20-Sep-2009 12:48 110k

gdp4703.txt 20-Sep-2009 12:48 3k

gsd_ms.opt 20-Sep-2009 12:48 31k

lngdpq.txt 20-Sep-2009 12:48 3k

navbar_0_normal.png 17-Aug-2009 21:54 1k

navbar_0_rollover.png 17-Aug-2009 21:54 1k

navbar_1_normal.png 17-Aug-2009 21:54 1k

navbar_1_rollover.png 17-Aug-2009 21:54 2k

navbar_2_normal.png 17-Aug-2009 21:54 2k

navbar_2_rollover.png 17-Aug-2009 21:54 2k

navbar_3_normal.png 17-Aug-2009 21:54 1k

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navbar_separator_1.png 17-Aug-2009 21:54 1k

navbar_separator_2.png 17-Aug-2009 21:54 1k

navbar_separator_3.png 17-Aug-2009 21:54 1k

pr_ar0.opt 20-Sep-2009 12:48 15k

pr_ar2.opt 20-Sep-2009 12:48 15k

shapeimage_1.jpg 20-Sep-2009 12:47 1k

shapeimage_2.png 17-Aug-2009 21:54 1k

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shapeimage_3_rollove..> 17-Aug-2009 21:55 5k

shapeimage_3_rollove..> 17-Aug-2009 21:55 6k

shapeimage_4.png 17-Aug-2009 21:55 4k

srfms.opt 20-Sep-2009 12:48 26k

srtvp.opt 20-Sep-2009 12:48 15k

transparent.gif 17-Aug-2009 21:55 1k

uc_ur.opt 20-Sep-2009 12:48 7k

uc_yc.opt 20-Sep-2009 12:47 9k

vf_fru_a.opt 20-Sep-2009 12:48 7k

vf_fru_b.opt 20-Sep-2009 12:48 7k

vf_pru_a.opt 20-Sep-2009 12:48 7k

vf_pru_b.opt 20-Sep-2009 12:48 7k

vwxs2000.txt 20-Sep-2009 12:48 12k

yc.txt 20-Sep-2009 12:47 10k

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iarec

2010-5-19 14:36:07

1# xuehe
非常感谢

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