HamiltonGDP

Hamilton's (1989) quarterly data on U.S. GDP growth.


datasets

Provides methods for estimating frequentist and
Bayesian Vector Autoregression (VAR) models and Markov-switching
Bayesian VAR (MSBVAR).  Functions for reduced
form and structural VAR models are also available. Includes
methods for the generating posterior inferences for these models,
forecasts, impulse responses (using likelihood-based error bands),
and forecast error decompositions.  Also includes utility functions
for plotting forecasts and impulse responses, and generating draws
from Wishart and singular multivariate normal densities.  Current
version includes functionality to build and evaluate models with
Markov switching.

Patrick Brandt

MSBVAR

Markov-Switching, Bayesian, Vector Autoregression Models

HamiltonGDP function

<code>ts</code> object of quarterly GDP growth named <code>gdp</code>. This
  <code>ts</code> classed object has 130 observations.

Format

Hamilton, James. 1989. "A new approach to the economic analysis of
  nonstationary time series and the business cycle." Econmetrica,
  357--384.

HamiltonGDP: Quarterly U.S. GDP Growth, 1952Q3-1984Q4

Description

Usage

Arguments

Format

Source

References