Click here to get a short version.

I provide here a leading recession probability index, based upon personal research, which has been tested in real time since 2005. This detected the last seven US recessions with an average (resp. median) lead of 9 (resp. 7) months. Click here to get the latest public update and a 49 year historical record.

You will find resources (in english) dealing with Business Cycle issues and Markov-Switching models used on this web site and some old research. Click here to see references, copy of old papers and data.

MSVARlib is a library allowing estimations of multivariate multi-state Markov switching regression models, based on a classical Maximum likelihood approach and standard optimization procedures. It has been fully inspired by the orignal works of James D. Hamilton and Hans Martin Krolzig. A first version of MSVARlib version was released on February 2004 for Gauss and an upgraded and completed version has been available on this website since Februray 2005. This package has been designed to use minimal Gauss resources and should be easily tranposed to any matricial environnment. A more elaborated Scilab version has been available since 2006 thanks to Eric Dubois, and included in the GROCER toolbox. Click here to download MSVARlib for Scilab users, or go directly to the GROCER web site.