Change theme
Change theme

Regime-Switching Models: A Guide to the Bank of Canada Gauss Procedures

Available as: PDF

This paper is a user's guide to a set of Gauss procedures developed at the Bank of Canada for estimating regime-switching models. The procedures can estimate relatively quickly a wide variety of switching models and so should prove useful to the applied researcher. Sample program listings are included.

JEL Code(s): C, C6, C63