GAUSS Code

 


“Reproducing Business Cycle Features: Do Nonlinear Dynamics Really Matter?” Studies in Nonlinear Dynamics & Econometrics (forthcoming) with Jeremy Piger and Pao-Lin Tien


  1. •Morley_Piger_Tien_SNDE_Code.zip (zip file contains program and data)



“The Asymmetric Business Cycle” Review of Economics and Statistics (February 2012, vol. 94, pp. 208-221) with Jeremy Piger


  1. •Morley_Piger_REStat_Code.zip (zip file contains programs and data)



“Changes in U.S. Inflation Persistence,” Studies in Nonlinear Dynamics & Econometrics with Kyu Ho Kang and Chang-Jin Kim


  1. •sb_drift.prg (code)

  2. •us_def_inf.txt (data file)



“The Slow Adjustment of Aggregate Consumption to Permanent Income,” Journal of Money, Credit, and Banking


  1. •uc_yc.opt (Maximum likelihood estimation for unobserved components model of income and consumption. Replicates Table 3)

  2. •yc.txt (data file)



“Detecting Shift-Contagion in Currency and Bond Markets,” Journal of International Economics (March 2006, vol. 68, pp. 409-423) with Toni Gravelle and Maral Kichian 


  1. •arbz_msm.opt (Maximum likelihood estimation for regime-switching model with switching mean. Replicates results for Argentian/Brazil case in Table 2)

  2. •gsd_ms.opt (Maximum likelihood estimation for regime-switching model with constant mean. Replicates results for Germany/Sweden case in Table 2)

  3. •bond.txt (bond yield data file)

  4. •fx.txt (exchange rate data file)



“Nonlinearity and the Permanent Effects of Recessions,” Journal of Applied Econometrics (Special Issue on "Recent Developments in Business Cycle Analysis" 2005, vol. 20, pp. 291-309) with Chang-Jin Kim and Jeremy Piger


  1. •pr_ar0.opt (Maximum likelihood estimation for bounceback model. Replicates Table 2 in paper)

  2. •pr_ar2.opt (AR(2) version of bounceback model)

  3. •gdp4703.txt (data file)



“Is There A Positive Relationship between Stock Market Volatility and the Equity Premium?” Journal of Money, Credit, and Banking (June 2004, part 1, vol. 36, no. 3, pp. 339-360) with Chang-Jin Kim and Charles R. Nelson


  1. •vf_pru_a.opt (Maximum likelihood estimation for volatility feedback model with partial revelation and unrestricted feedback parameter. Replicates column 1 of Table 3a in paper. Straightforward to modify to more restrictive cases)

  2. •vf_pru_b.opt (Replicates column 1 of Table 3b in paper)

  3. •vf_fru_a.opt (Replicates column 1 of Table 4a in paper)

  4. •vf_fru_b.opt (Replicates column 1 of Table 4b in paper)

  5. •vwxs2000.txt (data file)



“Why Are Unobserved Component and Beveridge-Nelson Trend-Cycle Decompositions of GDP So Different?” Review of Economics and Statistics (May 2003, vol. 85, no. 2, pp. 235-243, lead article) with Charles R. Nelson and Eric Zivot


  1. •uc_ur.opt (Maximum likelihood estimation for unobserved components model with correlated innovations. Replicates Table 4 in paper)

  2. •arima212.opt (Maximum likelihood estimation for ARIMA(2,1,2) model. Replicates Table 2 in paper. The arima212.dta output file from this program can be used in the caluculation of the BN decomposition using bn.prg)

  3. •bn.prg (Calculates the BN cycle. Replicates Figure 2 in paper. Makes use of state-space approach to calculating the BN decomposition discussed in Morley (2002))

  4. •lngdpq.txt (data file -- Log real U.S. GDP for 1947:Q1-1998:Q2)



“Does an Intertemporal Tradeoff Between Risk and Return Explain Mean Reversion in Stock Prices?” Journal of Empirical Finance (September 2001, vol. 8, no. 4, pp. 403-426) with Chang-Jin Kim and Charles R. Nelson


  1. •srfms.opt (Maximum likelihood estimation for Markov-switching model. Replicates Table 2 in paper)

  2. •srtvp.opt (Maximum likelihood estimation for time-varying parameter model. Replicates Table 3 in paper)

  3. •crspd96.dat (data file)

James Morley’s Website

published articles