Penelope A. Smith and Peter M Summers, "How Well Do Markov Switching Models
Describe Actual Business Cycles? The Case of Synchronization", Journal of
Applied Econometrics, Vol. 20, No. 2, 2005, pp. 253-274.

The file "mssynch.zip" contains the data and programs for obtaining
posterior distributions of the linear and the Markov switching VARs and for
the concordance and correlation statistics between implied business cycle
states. When unzipped the size of the folder is approximately 117 KB.

The data file "newgdpd.txt" is in fixed column ASCII (DOS) format. The first
column of this file is the date, with the subsequent columns containing
Australian, US, UK, German, Canadian, Japanese quarterly, seasonally
adjusted, real GDP data in that order. The sample period is 1961:I -2001:IV.

In "newgdpd.txt" the effect of German reunification in 1991:I has been
removed via a de-meaning regression of the growth rate of German real GDP
on a dummy variable taking the value 1 in 1991:I. The original data value of
quarterly growth rate of real German GDP obtained from DATASTREAM for this
period was 13.44%. The adjusted quarterly growth rate of real German GDP in
1991:I is 0.68%.

"MSVAR.G" is the main GAUSS program for estimating the posterior
distributions parameters of the VAR and MSVAR. This code was modified from
Richard Paap's "MARKVAR.PRG" code. This program makes use of the procedures
"POWHALF.G," "PRIORHGT.G," "RNDINVW.G," and "MKERNEL.G," all of which were
written by Richard Paap. Code for the Geweke-Hajivassiliou-Keane (GHK)
simulator was obtained from V. Hajivassiliou's web page,
http://econ.lse.ac.uk/staff/vassilis/index_own.html.

StatTransfer7 was used to convert GAUSS (.dat) files containing Gibbs draws
from the parameter vector to MATLAB (.mat) files. MATLAB programs for
posterior inference on co-integrating relations are "abpost.m" and
"cointpost.m".

Data were simulated from the posterior distribution of the VAR and the MSVAR
using the MATLAB files "simdata_var.m" and "simdata_msvar.m". The GAUSS
program "dating_algorithm.g" is used to filter the simulated data with the
BBQ algorithm.

The MATLAB program "index_distn.m" calculates the degree of concordance and 
correlations between the business cycle states.


Penelope Smith
Melbourne Institute of Applied Economic and Social Research
The University of Melbourne
Parkville, Victoria, 3010
Australia

Email: pasmit [AT] unimelb.edu.au