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 * 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 interpolated monthly real GDP (constructed using the Chow-Lin procedure, 1971).

Example :

What is the effect of financial stress on economic activity ?, Troy Davig and Craig Hakkio (2010)

DH10.mod

DavigHakkio10.mat

Some differences with their paper :

  • Instead of using the Chicago Fed National Activity Index (CFNAI), the MOD file considers the interpolated monthly real GDP (constructed using the Chow-Lin procedure, 1971).
  • 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.

DynareWiki: example_swz (last edited 2011-05-30 16:01:12 by StephaneLhuissier)