abstract oil export revenues have a major share in both iranian government incomes and gross domestic product (gdp). with regard to the importance of agricultural sector in economic growth, rural development and rural welfare improvement, this sector indubitably influenced by temporary and unexpected shocks in oil export. therefore we employed feder(1982) and auto-regressive distributed lag (ar...

This paper presents a new nonlinear time series model that captures a postrecession “bounce-back” in the level of aggregate output. While a number of studies have examined this type of business cycle asymmetry using recession-based dummy variables and threshold models, we relate the “bounce-back” effect to an endogenously estimated unobservable Markov-switching state variable. When the model is...

Real economic data always present nonlinear properties such as asymmetry and radically change in the series through time. Missing data and jumps as well as breaks also common reported in economic time series model. Thus, linear models are no longer suitable used in estimate the economic data and markov switching vector autoregressive model (MS-VAR) is applied in study the economic model. This p...

The objective of this paper is to provide readers with the program to estimate a Markov switching model with time varying transition probability(Filardo, 1994) by using a statistical computing software R. Although many of the previous studies estimating the model have conducted the estimation by the maximum likelihood estimation, this paper utilizes Gibbs sampling method. Using Gibbs sampling m...