Mark Bognanni and Ed Herbst, "A Sequential Monte Carlo Approach to
Inference in Multiple-Equation Markov-Switching Models", Journal of
Applied Econometrics, Vol. 33, No. 1, 2018, pp. 126-140.

data description: the file sz_2008_joe_data.csv contains quarterly
observations of the CBO output gap, log inflation rate, and log
federal funds rate from 1959:Q1 to 2005:Q4.

The file sz_2008_joe_data.csv is an ASCII file in DOS format. It is
zipped in the file bh-data.zip. Unix/Linux users should use "unzip -a".

The data is the same as used in

  Christopher A. Sims, Daniel F. Waggoner, and Tao Zha, "Methods for
  inference in large multiple-equation Markov-switching models",
  Journal of Econometrics, 146, 2, October 2008, pp, 255--274.

Code for this project can be found at:

https://github.com/eph/smc-msvar