The RATS Software Forum

Posted: **Wed Jan 25, 2017 2:30 am**

Hi Dear Tom,

I am looking to replicate some works on business cycle turning points and business cycle synchronization.

There exist some papers and codes (GAUS and MATLAB) Please see attached papers. The codes are available as well.

1- business cycle turning points

* Extracting nonlinear signals from several economic indicators (Camacho 2014)

CAMACHO-MSDFM_1svs2s.pdf: CAMACHO- GAUSS codes available; (422 KiB) Downloaded 746 times

- Gauss codes available.

*Kim-Nelson (1998): Business cycle turning points, a new cincident index, and tests of duration dependence based on Dynamic Factor model with Regime switching- Gauss codes available.

Kim-Nelson_RES98.pdf: Gauss Codes available; (679.86 KiB) Downloaded 754 times

*Dating Business cycle Turning points for the French Economy: a MS-DFM approach (Petronevich 2015)

Petronevich -Matlab.compressed.pdf: Matlab codes available; (978.9 KiB) Downloaded 725 times

- Matlab codes avalibale

2-business cycle synchronization

* Camacho : A new framework to analyse business cycle synchronization

Camacho-BS Synchro.pdf: Gauss Codes available; (354.55 KiB) Downloaded 736 times

Is there any way to work this out in RATS ? I would be happy to pay for a special course for a step-by-step explanation of the RATS functions.

Best regards
Danon

Posted: **Wed Jan 25, 2017 10:05 am**

Pretty much the whole point of the Kim and Nelson book is to develop the MS-DFM model from their 1998 paper. kimnp126.rpf estimates the model using the "Kim filter" and kimnp247.rpf does it using Gibbs sampling. I'm assuming the other papers are relatively similar.

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Businesss Cycle and Business cycle Synchronisation

Businesss Cycle and Business cycle Synchronisation

Re: Businesss Cycle and Business cycle Synchronisation