hamilton84GNP

Hamilton 1984 &amp; Hansen 1992 GNP data

datasets

Implementation of hypothesis testing procedures described in Hansen (1992) <doi:10.1002/jae.3950070506>, Carrasco, Hu, & Ploberger (2014) <doi:10.3982/ECTA8609>, Dufour & Luger (2017) <doi:10.1080/07474938.2017.1307548>, and Rodriguez Rondon & Dufour (2024) <https://grodriguezrondon.com/files/RodriguezRondon_Dufour_2024_MonteCarlo_LikelihoodRatioTest_MarkovSwitchingModels_20241015.pdf> that can be used to identify the number of regimes in Markov switching models.

Gabriel Rodriguez Rondon

MSTest

Hypothesis Testing for Markov Switching Models

Jean-Marie Dufour

hamilton84GNP function

<dl>
Hamilton (1989). This series ranges from 1951Q2 to 1984Q4. 
 <dt>Date</dt>
<dd>Vector of dates</dd> <dt>GNP</dt>
<dd>US GNP series</dd> <dt>GNP_gr</dt>
<dd>US GNP log difference</dd>
</dl>

Format

Hamilton 1984 &amp; Hansen 1992 GNP data — hamilton84GNP

<dl>
Hamilton (1989). This series ranges from 1951Q2 to 1984Q4. 
 <dt>Date</dt>
<dd>Vector of dates</dd>

 <dt>GNP</dt>
<dd>US GNP series</dd>

 <dt>GNP_gr</dt>
<dd>US GNP log difference</dd>


</dl>

hamilton84GNP: Hamilton 1984 & Hansen 1992 GNP data

Description

Usage

Arguments

Format

References