Keywords: Bayesian model averaging; threshold models; impluse response functions; nonlinear time series
References:
"Nonlinearity, Structural Braks, or Outliers in Economic
Time Series?" S. Potter and G. Koop
[Postscript]
[PDF]
"Dynamic Asymmetries in U.S. Unemployment,"
S. Potter and G. Koop
[Postscript]
[PDF]
Description: GAUSS programs and LaTeX scripts for formatting output that were used in a computer lab presented at the 1998 NSF Symposium on Nonlinear Time Series. Topics covered include Bayesian model averaging, threshold models, and impulse response functions for nonlinear models.
Platforms: Programs are written in the Gauss programming language (Aptech Systems, Inc. (206) 432-7855 sales@aptech.com). Gauss runs on Intel and SPARC PCs and workstations running DOS/Windows and supported versions of Unix (e.g., Sun Solaris).
Support: Limited. Please contact the author with questions or suggestions at simon.potter@ny.frb.org.
By clicking on the links below, you agree that you have read our disclaimer, understand it, and will abide by its terms and conditions.
Archive file: potter.zip
17068 Aug 13 08:58 2targnp.prg
17084 Aug 13 08:58 2tarlin.prg
17084 Aug 13 08:58 2tarnl.prg
17764 Aug 13 08:58 2taru.prg
1563 Aug 13 08:58 coefftab
68320 Aug 13 09:08 complab.ps
207623 Aug 13 09:01 cup.ps
1635 Aug 13 08:58 for2tara.prc
1636 Aug 13 08:58 for2tard.prc
1594 Aug 13 08:58 for2tarl.prc
2990 Aug 13 08:58 gi2tara.prc
3025 Aug 13 08:58 gi2tard.prc
2868 Aug 13 08:58 gi2tarl.prc
1265 Aug 13 08:58 gitab
2312 Aug 13 08:58 ham.dat
1224 Aug 13 08:58 hgnp.fmt
257133 Aug 13 09:14 potter.zip
230 Aug 13 09:13 readme.txt
10852 Aug 13 08:58 sim2tara.prg
10393 Aug 13 08:58 sim2tard.prg
11625 Aug 13 08:58 sim2tarl.prg
300131 Aug 13 09:01 unembaye.ps
The source code as written is for Unix GAUSS. The programs and scripts for producing latex tables from gauss output were run without errors on a Sun Ultra 1 workstation with Solaris 2.5.1 and Unix GAUSS ver. 3.2.31.
Archived by Grace Katagiri, 12 August 1998.