hamilton84GNP

This data set is used in Hansen (1992) to test the US GNP model proposed by
Hamilton (1989). This series ranges from 1951Q2 to 1984Q4.

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

hamilton84GNP function

<dl>
 <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>
 <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