chp10GNP

This data is the extension of the GNP series used in CHP (2014), Econometrica. This series ranges from
1951Q2 to 2010Q4.

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 (2026a) <doi:10.34989/swp-2026-23> that can be used to identify the number of regimes in Markov switching models. For a detailed description of the package, see Rodriguez-Rondon & Dufour (2026b) <doi:10.34989/swp-2026-7>.

Gabriel Rodriguez-Rondon

MSTest

Hypothesis Testing for Markov Switching Models

Jean-Marie Dufour

chp10GNP function

<dl>
 <dt>Date</dt>
<dd>Vector of dates</dd> <dt>GNP</dt>
<dd>US GNP series</dd> <dt>GNP_gr</dt>
<dd>log difference of US GNP series</dd>
</dl>

Format

Carrasco, Hu, &amp; Ploberger 2010 GNP data — chp10GNP

<dl>
 <dt>Date</dt>
<dd>Vector of dates</dd>

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

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


</dl>

chp10GNP: Carrasco, Hu, & Ploberger 2010 GNP data

Description

Usage

Arguments

Format

References