Companion Code for A SEQUENTIAL MONTE CARLO APPROACH TO INFERENCE IN MULTIPLE-EQUATION MARKOV-SWITCHING MODELS

by MARK BOGNANNI and ED HERBST [ed.herbst@gmail.com]

Requirements

You need a 64-bit linux installation, GCC 5+, and MPI.

Installation + Usage

1. Download Anaconda

2. Install the and activate msvar environment

   conda env create -f env.yaml
   source activate msvar

3. Run the estimation create_models.py

   python create_models.py [-m {1,2}] [-v {1,2,3,4,5}] {swz,rfb,rfb-hier}

Note

The code was refactored recently, so there may be bugs. Please let me know.