|
Size: 583
Comment:
|
← Revision 11 as of 2011-05-30 16:01:12 ⇥
Size: 792
Comment:
|
| Deletions are marked like this. | Additions are marked like this. |
| Line 10: | Line 10: |
| * Instead of using the Chicago Fed National Activity Index (CFNAI), the MOD file considers the interpolated monthly real GDP. | * Instead of using the Chicago Fed National Activity Index (CFNAI), the MOD file considers the log of the interpolated monthly real GDP (constructed using the Chow-Lin procedure, 1971). Three monthly series used in the procedure : industrial production index, real personal consumption expenditures and all employees: total nonfarm. |
Example :
What is the effect of financial stress on economic activity ?, Troy Davig and Craig Hakkio (2010)
Some differences with their paper :
- Instead of using the Chicago Fed National Activity Index (CFNAI), the MOD file considers the log of the interpolated monthly real GDP (constructed using the Chow-Lin procedure, 1971). Three monthly series used in the procedure : industrial production index, real personal consumption expenditures and all employees: total nonfarm.
- The coefficients b_{11} and b_{22} are considered constant in Davig and Hakkio (2010) whereas in the MOD file, they follow the markov switching process.