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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.

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