1
$\begingroup$

I want to reproduce the results of Bianchi et al (2017) Escaping the Great Recession using R and/or Python. Authors in the article used Markov Switching Vector Autoregressive (MSVAR) and Markov Switching Dynamic Stochastic General Equilibrium (MSDSGE) models. I found MSBVAR R package (archived) which can fit MSVAR model. However, yet not able to find any R and/or Python library to implement MSDSGE Model. The out of MSVAR model are not matching with the results of article. I would appreciate it if someone leads me to R and/or Python libraries to reproduce the results of Bianchi et al (2017) Escaping the Great Recession.

library(MSBVAR)
fm1 <- msvar(Y = Data1TS, p = 2, h = 2, niterblkopt = 10)
fm1
fm2 <- msbvar(
   Y              = Data1TS
 , p              = 2
 , h              = 2
 , lambda0        = 0.8
 , lambda1        = 0.15
 , lambda3        = 1
 , lambda4        = 0.25
 , lambda5        = 1
 , mu5            = 0
 , mu6            = 0
 , qm             = 12
 , alpha.prior    = c(100, 30)*diag(2) + matrix(12, 2, 2)
 , prior          = 0
 , max.iter       = 30
 , initialize.opt = NULL
 )

fm2

Here Data1TS is the data for MSVAR model and Data2TS the data for MSDSGE model.

Data

Data1TS <- 
structure(c(-0.00641658440276408, -0.0164288084965151, -0.0210843373493976, 
-0.0382387022016222, -0.0384359400998336, -0.0333504361210877, 
-0.0320715036803366, -0.0336134453781513, -0.025445733079453, 
-0.0218900160170849, -0.0183156760639253, 0.0115667718191378, 
0.0303706245710364, 0.0587434020091946, 0.0462833099579242, 0.0408268733850129, 
0.0132472826086957, -0.00256717439671405, 0.0168367346938775, 
0.0105864560578054, -0.0538653366583541, -0.0380316930775646, 
-0.0227535037098105, -0.00491883915395967, 0.00538951494365508, 
0.0103414313854236, 0.00487725573077549, -0.00433039294306323, 
0.00907065563335466, 0.00713832487309653, 0.00285532994923857, 
0.00373134328358215, -0.0134466769706337, -0.0238689547581904, 
-0.0165120301934266, -0.0202194357366772, -0.00560485754320408, 
0.0145494367959951, -0.0028116213683224, -0.0171402100061766, 
-0.0386740331491711, -0.0398624355166485, -0.00334128878281625, 
-0.0047333543704639, -0.0212297531058342, -0.0222580645161291, 
-0.00495949743759302, 0.00480923372875924, 0.0441106719367589, 
0.0361445783132532, 0.0464197530864199, 0.0307840307840307, 0.0102452654455138, 
0.0152308424559733, -0.0271281571562206, -0.0327459847185406, 
-0.0841942945258291, -0.0872483221476511, -0.0585149975413867, 
-0.0582053354890864, -0.0172111553784861, 0.020117762512267, 
0.0407004259346901, 0.0616250760803407, 0.0414523004556812, 0.0851917930419268, 
0.0787878787878787, 0.0616923718215922, 0.0316515622886515, 0.0660467660330918, 
0.00979991833401367, 0.0630334865397241, -0.0155561317085819, 
-0.00197550375345699, -0.0532015703262488, -0.0571504167217884, 
-0.0467326732673268, -0.0747562296858068, -0.0372469635627529, 
0.0151593677118425, 0.107181785151992, 0.283904109589041, 0.147467407565719, 
0.134734971868522, 0.0898917969111255, 0.0618528855676599, 0.0662997678218248, 
0.0738167252513693, 0.0347013151639994, 0.0312130527311422, 0.037131585054537, 
0.0339497041420116, 0.031614924522928, -0.0173658257700279, -0.0245450698264918, 
-0.0381980485779532, -0.0667777407530823, -0.0676646706586826, 
-0.0569191986201406, -0.0545381900512753, -0.0347940691927513, 
0.00606766364304969, 0.0203217612193057, -0.0143044462987245, 
-0.0521225752038237, -0.0582037129954843, -0.0722200348726027, 
-0.0124416796267495, 0.00444905828266354, 0.0185968284478614, 
0.0581023454157782, 0.0859616078227067, 0.0884866201933887, 0.0576736845880708, 
0.0796302755493547, 0.0565319077848313, 0.0299577518883625, 0.0326411400327374, 
0.028655798957423, 0.0381608808943432, 0.00355536402079344, 0.0430261742560058, 
0.0248427363868685, 0.0266070766950722, 0.018901831723899, 0.0283183632734531, 
0.0397852478064026, 0.0115105952009972, 0.0123013839056894, -0.0166981297316234, 
-0.0125974102068319, -0.0128530805687204, -0.0185826197850245, 
-0.0225792765039015, -0.03121185066414, -0.0300230122910608, 
-0.0461065573770492, -0.0386157959687372, -0.0340152944681697, 
-0.033826503798315, -0.0216441997341942, -0.0237017683012177, 
-0.0275448561897033, -0.0100426705745442, -0.0336605311342704, 
-0.0107469761359921, 0.00348577620533451, 0.00171105490254435, 
0.0162436424695204, 0.0185027345692166, 0.0213644198494057, 0.0167287496634054, 
0.0165515443763847, 0.00350273850464917, 0.00634393406434709, 
-0.0040230944045206, -0.0123736152967919, -0.0231806329892099, 
-0.0174477304278322, -0.0215181740623322, -0.0244854070660522, 
-0.0303436364719194, -0.0384739167324966, -0.0371457711774743, 
-0.0349906520769472, -0.0487476381958239, -0.0539916269669409, 
-0.0658138881079562, -0.0694658582495436, -0.0839509733237203, 
-0.0852069663218804, -0.0837962228217743, -0.0980865224625624, 
-0.10566966559158, -0.110524991379069, -0.106707260474873, -0.115982463132722, 
-0.123361481290374, -0.12687969924812, -0.127246409312851, -0.164004933102569, 
-0.161077721989872, -0.164883045405901, -0.16270337922403, -0.154604833442195, 
-0.144013000933578, -0.0599783861671469, -0.0863492834588294, 
-0.0151835372636263, -0.00176985240098836, 0.00426073600269326, 
0.0201668347236227, 0.028576308993901, 0.0536000544064356, 0.0717518144300556, 
0.0487716561751434, 0.0563304432118046, 0.0458769397329484, 0.0370438338926174, 
0.0351398466281378, 0.0179318889595821, 0.0106906541133094, 0.0255109578921448, 
-0.00232056344909007, -0.00808761179463392, -0.012027073087598, 
-0.0192993463637013, -0.0357491697597187, -0.0214234374879243, 
-0.0201492363478247, -0.00626233748553538, -0.00240710753205834, 
0.0173477490684748, 0.0905341856180283, 0.0665962539607147, 0.108993669152826, 
0.158571671204393, 0.17856558169993, 0.163123139170929, 0.156423672422446, 
0.157226357551429, 0.145182065890513, 0.128071631970578, 0.121861751362717, 
0.111454066535931, 0.119038038573778, 0.108032243053784, 0.101666078135533, 
0.0802002079188154, 0.0743475480596299, 0.0782006180637888, 0.068678103502412, 
0.0402626800171505, 0.0168170422875758, 0.0372995846874356, 0.0165686505389005, 
0.0598052244001091, 0.0748894944125711, 0.0769422286796759, 0.0636566699598973, 
0.0316136195145269, 0.0236950438017773, 0.00954154177493471, 
0.0197264719561723, 0.0300493762229292, 0.0196067332763246, 0.0301090422637191, 
0.00358990988432506, -0.0290751217211298, -0.0203230913427053, 
-0.00711870961690853, 0.0263159395334487, 0.070960134851874, 
0.0884495435456323, 0.0636297735590334, 0.0444413478491788, 0.0480764076837161, 
0.0202269772755432, 0.0246677659880827, 0.00853926054567111, 
-0.00671434535973425, 0.0154997362468077, 0.0295360794716331, 
0.0617903710567305, 0.0728684920236962, 0.0651732290004876, 0.0581056225836036, 
0.0419136277789374, 0.0351285218077813, 0.0373635943032884, 0.0472393292352447, 
0.0504884064796105, 0.060786300690209, 0.0596782529527751, 0.0538268520738328, 
0.0502329271117077, 0.0532314046912319, 0.0549675177494358, 0.0615907790755301, 
0.0813563861820921, 0.0813783128584689, 0.0718988596259749, 0.0588875688139812, 
0.0441272611178043, 0.0288522147809669, 0.025645430828753, 0.0271394322019241, 
0.0266166654290068, 0.0375973043867059, 0.0534578823111964, 0.0520339558767358, 
0.048474183099696, 0.0437873525492503, 0.0302618772245022, 0.0293098942212726, 
0.0205035408884857, 0.00329833148244418, 0.00184672259316443, 
0.0044452476472987, -0.00152804630848635, 0.0266643336134287, 
0.0305955598967422, 0.0295759452456288, 0.0428224136032416, 0.0341814565098648, 
0.0513930446520483, 0.052747338793246, 0.0663072996170762, 0.0728635093873589, 
0.0612324054871429, 0.0466176887705014, 0.0394316317043497, 0.00676085001745186, 
-0.00187624218090043, -0.00615352339297459, -0.0194468030871544, 
-0.0232703274896426, -0.0182270827139135, 0.00790737539285757, 
0.0252879411901894, 0.0597928951797009, 0.0596491217953563, 0.0483210134553875, 
0.0424223440289033, 0.0316552526387106, 0.04355276178417, 0.0560134105983359, 
0.0486364755381423, 0.040551575838748, 0.0592607929297948, 0.0514486598768666, 
0.0646766342940026, 0.063169439585586, 0.0262386462351465, 0.0236784209475776, 
0.0129371513914922, 0.0141846349919561, -0.0075116846107548, 
-0.0161930500216272, -0.000415221726676407, 0.0168385359288674, 
0.030002481482402, 0.042932285676482, 0.012822745861909, -0.0245155557640864, 
-0.0117733751605069, -0.026785482350153, -0.0140694464997466, 
0.0158125440972903, 0.0329523337358566, 0.0559380988747122, 0.0753843372046497, 
0.0820356547514205, 0.076883422348379, 0.0672907434164216, 0.0548149017111825, 
0.0450312560659221, 0.036737694839605, 0.0423869703287014, 0.041916041586914, 
0.0412551291663146, 0.036715350143977, 0.0313003730957178, 0.0289949458722241, 
0.0267331546193681, 0.0333144078066514, 0.0323135123167315, 0.043525308743293, 
0.0421629337084628, 0.0441338814314989, 0.0408671025982379, 0.0376532328662158, 
0.0420793428987345, 0.0367847416224212, 0.0384587321197571, 0.0274112150410204, 
0.0282708345406988, 0.0242971643309868, 0.0171092108614559, 0.00644233430576513, 
-0.00915083830286534, -0.00528017926834323, -0.000734917521887368, 
0.0121627493853573, 0.0286200782323895, 0.031845580373691, 0.0367335797130277, 
0.0423557983433813, 0.0324715406950276, 0.0274402896550043, 0.022623645973491, 
0.0259196042246863, 0.0338124145232577, 0.0414593373915793, 0.0424804444870563, 
0.0405008158955571, 0.034154899691563, 0.0240669500874642, 0.0267132543111241, 
0.0224956249426427, 0.0256233556846333, 0.0394501922519339, 0.0401290187890044, 
0.0435743019547807, 0.0446185412989077, 0.0422865321374086, 0.0457258241450855, 
0.0429417118590649, 0.0451976249670967, 0.039871086440753, 0.0402263479023617, 
0.0487803941949849, 0.0468905308941832, 0.0454477937354323, 0.0449562273196715, 
0.0458783866401458, 0.0408250287263776, 0.0513246418585958, 0.0400202268224366, 
0.0284789630569957, 0.0227347967492992, 0.00931128974697693, 
0.00493714854553851, 0.00204848680632885, 0.0140584119835854, 
0.0142718400440547, 0.0222986773649776, 0.0201570560350657, 0.0161606394839904, 
0.0198969132625439, 0.0316493170353258, 0.0426370695081406, 0.0432011376797128, 
0.0412668435153467, 0.0337051079055826, 0.0306948269039715, 0.0355633458187086, 
0.033469293746462, 0.0327879569529266, 0.0298710944493852, 0.031211950891235, 
0.028991367167432, 0.0215136488307817, 0.0236172171550084, 0.0122917224956094, 
0.0169296867033832, 0.0227421780063448, 0.0185068916630353, 0.0110416276019727, 
0.00836858662720097, -0.00314447746702484, -0.0280584408669675, 
-0.0351656798650826, -0.0414671094683481, -0.0333954929662408, 
-0.00241080652085479, 0.015859655122096, 0.0268249680616748, 
0.0302949863983173, 0.0269411054891595, 0.018755149374682, 0.0163915492577704, 
0.0117590903174207, 0.0166818231878949, 0.027159028845821, 0.0245663382115993, 
0.0236640989892756, 0.0126904426282977, 0.0108104941818912, 0.00892996155399572, 
0.015073587075646, 0.0242227486892297, 0.00984266330192352, 0.0130032389352084, 
0.0187768546712954, 0.0257364780694229, 0.0309740908010894, 0.03278773910113, 
0.0381963568345745, 0.0325582542935536, 0.0360059890444027, 0.0370617298524802, 
0.0306425579652205, 0.0271131088951999, 0.0243892605480025, 0.0202147547119695, 
0.0202709643736192, 0.0243554037855889, 0.0162652950233779, 0.0148827965283438, 
0.0125362418430162, 0.0117856744611142, 0.0131923454673384, 0.0143779362837457, 
0.0142678752241308, 0.0134153247390221, 0.0114874816609558, 0.011287316278271, 
0.0102862271424105, 0.0104801978914892, 0.0134896923527972, 0.0126737269653785, 
0.0121383901164793, 0.0108175815973515, 0.0100408050573968, 0.0100800006995136, 
0.00922946616055764, 0.0153789610656272, 0.0141635279428658, 
0.014904717001635, 0.0177180247311868, 0.0141722638069206, 0.0160142390420299, 
0.0180691959652783, 0.017997145055817, 0.0201994598560873, 0.0216287996632349, 
0.0253566770551701, 0.0310726047074588, 0.0327675791746209, 0.0304665855866078, 
0.0273269221241095, 0.0271680908062844, 0.0296370432053137, 0.036539244969422, 
0.0419830109364163, 0.0422698853134809, 0.0453981427376, 0.044674593293256, 
0.0468746507191113, 0.0510276356126069, 0.0497897120762563, 0.0534543172648561, 
0.0546059325879162, 0.0488120175550688, 0.049111585848316, 0.0502740994632465, 
0.0495159160151424, 0.0514506246678357, 0.0466062857466665, 0.0468135267247676, 
0.039831820655464, 0.0390801928446716, 0.0434272934320181, 0.0396276390056256, 
0.0486462316447511, 0.0581980981710801, 0.0652749643963784, 0.0725535460450648, 
0.0809281179419301, 0.0906114278757921, 0.0999427564179016, 0.103506812528386, 
0.0948659628260002, 0.083933285271752, 0.0714428304890133, 0.059376286661994, 
0.0546313531701235, 0.0497959066215583, 0.0508342450783723, 0.0564550182587689, 
0.060274879590823, 0.0597000422836738, 0.0636139477622901, 0.0624462701674298, 
0.0666423024465384, 0.0709944583178253, 0.0703129011851704, 0.0732365362419198, 
0.0790135629506841, 0.0835611781846031, 0.0825048894077667, 0.0853688585023207, 
0.0831830977721459, 0.0847983141571422, 0.0923046674400481, 0.0963934852423134, 
0.0932532712971477, 0.0883309546932787, 0.0796383479349041, 0.0688713848863505, 
0.0622663341374525, 0.0587360062354025, 0.0512100628790617, 0.0453551271278081, 
0.0401260322461603, 0.0362472292691445, 0.0325420928854667, 0.0350815433373115, 
0.0367155741419145, 0.0343690244059229, 0.0337300103766931, 0.0345802030099565, 
0.0323711632107839, 0.030078917968126, 0.0291541247040144, 0.0225903770941587, 
0.0204122342044748, 0.0186556798411663, 0.01844738330119, 0.0208092107063402, 
0.0234977602001596, 0.0267060415414981, 0.0293872713926877, 0.0299815444684821, 
0.0329212545610247, 0.0373974592784672, 0.0371439325788847, 0.0402484637673828, 
0.0409147976385063, 0.0364203330806729, 0.0353683108782965, 0.035415746953368, 
0.0353904153047022, 0.0370643248085329, 0.0376709401371809, 0.0366084551191745, 
0.0331776978545202, 0.0316048096366712, 0.0294488187719777, 0.0238151274577447, 
0.0233424419102679, 0.0207733625777156, 0.0221246706005847, 0.0235125421726012, 
0.0232126072990217, 0.0244708365635891, 0.0229368490380919, 0.0220985154829005, 
0.0210155249602009, 0.0204044117064877, 0.0206895968523444, 0.0215806063067889, 
0.0209956402024361, 0.0203408637619331, 0.0197694091980072, 0.0194479073344294, 
0.0188543035543027, 0.0169311905071279, 0.0170821449750518, 0.0178670154856855, 
0.0167729406383854, 0.017519959081997, 0.0157752864857974, 0.0112186615565282, 
0.0106041467911115, 0.0107692173463576, 0.0105696218826044, 0.0139239794390784, 
0.0151852480918029, 0.0150667900027388, 0.0165110932865344, 0.0191439233523845, 
0.0214478793725421, 0.0242970826816329, 0.0250840661915435, 0.0237296174720836, 
0.0251159449934377, 0.0219241287066554, 0.019590603756261, 0.0165269350060733, 
0.0132100122275478, 0.0143887374520997, 0.016765365195849, 0.0197104977257361, 
0.0191870051364491, 0.0202651540118906, 0.0195963426187022, 0.0221368062218712, 
0.0276068407666523, 0.0282175268500646, 0.0304767238746981, 0.031009630269474, 
0.0295779191235264, 0.0327494191615481, 0.0333202176644152, 0.0319329842278187, 
0.0327112386489929, 0.0303573613695542, 0.0262894088669912, 0.0296316420246798, 
0.0271889352701313, 0.0236967587389616, 0.0245548051072069, 0.0190813802909959, 
0.0183603626426061, 0.0217245516674023, 0.0188000743673973, 0.015571022332618, 
0.00905029054325013, 0.00200455100047492, 0.00354028692037467, 
0.00458661514796344, 0.0106840006044173, 0.0154596674685878, 
0.0176139286975978, 0.0185003379172626, 0.0213321302886422, 0.0227985917151381, 
0.019119815342779, 0.0199847126797934, 0.0172815803694082, 0.0166291413867334, 
0.0192331948908855, 0.017996112457034, 0.0158819026944617, 0.0152376017681597, 
0.0154927135422671, 0.0134, 0.015, 0.0194, 0.0236, 0.0248, 0.0269, 
0.0281, 0.0293, 0.0293, 0.03, 0.0323, 0.0325, 0.0186, 0.0094, 
0.0132, 0.0216, 0.0257, 0.0308, 0.0358, 0.0399, 0.0393, 0.037, 
0.0294, 0.023, 0.02, 0.0173, 0.0168, 0.024, 0.0246, 0.0261, 0.0285, 
0.0292, 0.0297, 0.0296, 0.0333, 0.0345, 0.0346, 0.0349, 0.0346, 
0.0358, 0.0397, 0.0408, 0.0407, 0.0417, 0.0456, 0.0491, 0.0541, 
0.0556, 0.0482, 0.0399, 0.0389, 0.0417, 0.0479, 0.0598, 0.0594, 
0.0592, 0.0657, 0.0833, 0.0898, 0.0894, 0.0857, 0.0788, 0.067, 
0.0557, 0.0386, 0.0456, 0.0547, 0.0475, 0.0354, 0.043, 0.0474, 
0.0514, 0.0654, 0.0782, 0.1056, 0.1, 0.0932, 0.1125, 0.1209, 
0.0935, 0.063, 0.0542, 0.0616, 0.0541, 0.0483, 0.052, 0.0528, 
0.0487, 0.0466, 0.0516, 0.0582, 0.0651, 0.0676, 0.0728, 0.081, 
0.0958, 0.1007, 0.1018, 0.1095, 0.1358, 0.1505, 0.1269, 0.0984, 
0.1585, 0.1657, 0.1778, 0.1758, 0.1359, 0.1423, 0.1451, 0.1101, 
0.0929, 0.0865, 0.088, 0.0946, 0.0943, 0.0969, 0.1056, 0.1139, 
0.0927, 0.0848, 0.0792, 0.079, 0.081, 0.0783, 0.0692, 0.0621, 
0.0627, 0.0622, 0.0665, 0.0684, 0.0692, 0.0666, 0.0716, 0.0798, 
0.0847, 0.0944, 0.0973, 0.0908, 0.0861, 0.0825, 0.0824, 0.0816, 
0.0774, 0.0643, 0.0586, 0.0564, 0.0482, 0.0402, 0.0377, 0.0326, 
0.0304, 0.0304, 0.03, 0.0306, 0.0299, 0.0321, 0.0394, 0.0449, 
0.0517, 0.0581, 0.0602, 0.058, 0.0572, 0.0536, 0.0524, 0.0531, 
0.0528, 0.0528, 0.0552, 0.0553, 0.0551, 0.0552, 0.055, 0.0553, 
0.0486, 0.0473, 0.0475, 0.0509, 0.0531, 0.0568, 0.0627, 0.0652, 
0.0647, 0.0559, 0.0433, 0.035, 0.0213, 0.0173, 0.0175, 0.0174, 
0.0144, 0.0125, 0.0125, 0.0102, 0.01, 0.01, 0.0101, 0.0143, 0.0195, 
0.0247, 0.0294, 0.0346, 0.0398, 0.0446, 0.0491, 0.0525, 0.0525, 
0.0526, 0.0525, 0.0507, 0.045, 0.0318, 0.0209, 0.0194, 0.0051, 
0.0018, 0.0018, 0.0016, 0.0012, 0.0013, 0.0019, 0.0019, 0.0019, 
0.0016, 0.0009, 0.0008, 0.0007, 0.001, 0.0015, 0.0014, 0.0016, 
0.0014, 0.0012, 0.0008, 0.0009), .Dim = c(236L, 4L), .Dimnames = list(
    NULL, c("deficit_debt", "gdp_growth", "inflation", "interest_rate"
    )), .Tsp = c(1955.25, 2014, 4), class = c("mts", "ts", "matrix"
))
Improve this question
$\endgroup$

0

Reset to default

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.