chp10GNP {MSTest}

Carrasco, Hu, & Ploberger 2010 GNP data

Description

Carrasco, Hu, & Ploberger 2010 GNP data

Usage

chp10GNP

Format

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

DATE

Vector of dates

GNP_logdiff

log difference of US GNP series

GNP

US GNP series

Source

https://www.econometricsociety.org/content/supplement-optimal-test-markov-switching-parameters

References

Carrasco, Marine, Liang Hu, and Werner Ploberger. 2014. “Optimal test for Markov switching parameters.” Econometrica 82 (2): 765–784.