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论坛 计量经济学与统计论坛 五区 计量经济学与统计软件 Gauss专版
3221 2
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




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



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

  • 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  



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


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


    bond.txt (bond yield data file)

  • 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



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


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

  • 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



    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)


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


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


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

  • 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



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


    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)


    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))

  • 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



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


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

  • crspd96.txt (data file)



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2010-5-2 21:09:06
Index of /Main/Code_files
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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  
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pr_ar0.opt              20-Sep-2009 12:48    15k  
pr_ar2.opt              20-Sep-2009 12:48    15k  
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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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2010-5-19 14:36:07
1# xuehe
非常感谢
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