Hi all! Does anyone know if a vector autoregression package is avaialable
that allows binary variables as part of the endogenous system? I'm looking
for something along the lines of what is implemented in "Dynamic Forecasts
of Qualitative Variables: A Qual VAR Model of US Recessions" by Michael
Dueker, 2003, Fed Reserve Bank of St. Louis. Another possibility is the
autoregressive conditional hazard model by Hamilton. Thx!
Best,
John
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