hamilton84GNP: Hamilton 1984 GNP
In roga11/MSTest_v1: MSTest: An R-package For Testing Markov-Switching Models
Description
Usage
Format
Source
References
Description
Hamilton 1984 GNP
Usage
1
Format
This data set is used in Hansen (1992) to test the US GNP model proposed by
Hamilton (1989). Secifically, the series GNP_logdiff. This series ranges from
1951Q2 to 1984Q4.
- DATE
Vector of dates
- GNP
US GNP seies
- GNP_logdiff
US GNP log difference
Source
https://www.ssc.wisc.edu/~bhansen/progs/jae_92.html
References
Hansen, B. 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, J. D. (1989). A new approach to the economic analysis of
nonstationary time series and the business cycle. Econometrica: Journal of the
Econometric Society, 357-384.
roga11/MSTest_v1 documentation built on Dec. 22, 2021, 5:16 p.m.
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Description Usage Format Source References
Description
Hamilton 1984 GNP
Usage
1 |
Format
This data set is used in Hansen (1992) to test the US GNP model proposed by Hamilton (1989). Secifically, the series GNP_logdiff. This series ranges from 1951Q2 to 1984Q4.
- DATE
Vector of dates
- GNP
US GNP seies
- GNP_logdiff
US GNP log difference
Source
https://www.ssc.wisc.edu/~bhansen/progs/jae_92.html
References
Hansen, B. 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, J. D. (1989). A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica: Journal of the Econometric Society, 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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