http://www.eugeniomiravete.com/publications.htm

https://research.stlouisfed.org/publications/review/04/11/0411mdp.txt

/****************************

This is the program file for "Discrete Policy Changes and Empirical Models of

the Federal Funds Rate" by Michael Dueker and Robert Rasche in the

November/December 2004 issue of the Federal Reserve Bank of St. Louis Review.

This file contains GAUSS and EVIEWS programs.

******************************/

/*This program provides the data for Table 3*/

/*

   Two State Markov Switching Model with sample splitting

   using optmum for Likelihood function

   param={u1,u2,u3,u4,c2,c3,a1,a2,a3,a4,sigma2};

   u1<u2<u3<u4

   c0=-Inf,c1=0,0<c2<c3,c4=+Inf

*/

new;

#lineson;

library optmum,pgraph;

#include optmum.ext;

optset;

graphset;

?"Markov switching with DFFED only";

/*

@ load data[226,1]=d:chibgdp.txt; @

load dat[169,14]=e:iiwvareuroqus60.txt;

data = 100*ln(dat[2:169,11]./dat[1:168,11]);

*/