hamilton84GNP: Hamilton 1984 & Hansen 1992 GNP data
In roga11/MSTest: Hypothesis Testing for Markov Switching Models
hamilton84GNP R Documentation
Hamilton 1984 & Hansen 1992 GNP data
Description
Hamilton 1984 & Hansen 1992 GNP data
Usage
hamilton84GNP
Format
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.
- Date
Vector of dates
- GNP
US GNP series
- GNP_gr
US GNP log difference
Source
https://www.ssc.wisc.edu/~bhansen/progs/jae_92.html
References
Hansen, Bruce E. 1992. “The likelihood ratio test under nonstandard conditions: testing the Markov switching model of GNP.” Journal of applied Econometrics 7 (S1): S61–S82.
Hamilton, James D. 1989. “A new approach to the economic analysis of nonstationary time series and the business cycle.” Econometrica 57 (2): 357–384.
roga11/MSTest documentation built on Feb. 25, 2025, 6:10 p.m.
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| hamilton84GNP | R Documentation |
Hamilton 1984 & Hansen 1992 GNP data
Description
Hamilton 1984 & Hansen 1992 GNP data
Usage
hamilton84GNP
Format
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.
- Date
Vector of dates
- GNP
US GNP series
- GNP_gr
US GNP log difference
Source
https://www.ssc.wisc.edu/~bhansen/progs/jae_92.html
References
Hansen, Bruce E. 1992. “The likelihood ratio test under nonstandard conditions: testing the Markov switching model of GNP.” Journal of applied Econometrics 7 (S1): S61–S82.
Hamilton, James D. 1989. “A new approach to the economic analysis of nonstationary time series and the business cycle.” Econometrica 57 (2): 357–384.
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Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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