hamilton84GNP {MSTest}

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_logdiff

US GNP log difference

GNP

US GNP series

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.