. I am in the middle of Chapter 4 at the moment and have just written some basic code for simulating the Markov-switching model of unemployment from Hamilton (2005). I highly recommend a read of the paper. It is fairly short, contains a neat little model, and after reading it I felt like I had a greater understanding of the dynamics of unemployment and the business cycle...I will continue to work on the code over the holidays, and will push my it out to github for others to use...after I get my github repository set up!
Just wondering if you were done with that python program?
ReplyDeleteI would like to use MS models.