US data from the Federal Reserve Bank of St Louis
NBER Online Economic Data Available for Downloading
Many data from the Bureau of Labor Statistics (U.S. Department of Labor)
American Gross Job Flows Data Download by J. Haltiwanger
Labor Database from International Labor Organization
INSEE – the French Statistical Agency
Labor statistics from the DARES (French Ministry of Labor)
OECD worldwide statistical sources
Marius Ooms’ homepage: Gauss code for regime-switching models
Dick van Dijk’s homepage: Gauss code for regime-switching models
Data and Gauss code by Bruce Hansen: Gauss code for regime-switching models
Data and Gauss code by J.D. Hamilton for Markov-Switching Models
Warne's world: Anders’ Gauss code for Markov-Switching Models with the EM algorithm
State-space models with Regime-Switching by Kim & Nelson
Econometrics Laboratory Software Archive Home Page and many links to Gauss code
Hans-Martin Krolzig’s homepage for Markov-switching VAR models
Wouter Denn Haan’s homepage: VAR-HAC covariance matrix calculation
Mark Watson’s papers (with codes and data)
Quelques tests de racine unitaire en gauss (pas toujours super bien programmés mais bon…)