Chapter 18: State Space and Unobserved Components Models

Exercises, Programs and Files:

• 18.1: The Local Level Model
  • UC.m
    • Supporting Files:
      • USPCE_2015Q4.csv (Data)

• 18.2: Estimating the Output Gap
  • UC_output_gap.m
    • Supporting Files:
      • USPCE_2015Q4.csv (Data)

• 18.3 The Local Slope Model
  • UC_noncen_sim.m
    • Supporting Files:
      • sample_beta.m

• 18.4: The Dynamic Factor Model
  • DF.m
    • Supporting Files:  
      • freddata_Q.csv)
      • SURform2.m

• 18.5: The Markov Switching Model
  • Markov_switch.m
    • Supporting Files:
      • usgdp.txt (data)
      • invgamrnd.m
      • linreg_MS.m
      • tnormrnd.m
      • truncnorm2.m