Bruce E. Hansen
"The likelihood ratio test under non-standard conditions:
Testing the Markov switching model of GNP."
Journal of Applied Econometrics, (1992 and 1996)
Program and Data Files
This program replicates the empirical work reported in the above paper.
There are two Gauss programs, one for the Markov switching mean AR(p) model of Hamilton (1989), and one for the Markov switching parameter model as presented in the above paper.
The programs estimate the model, and test the null hypothesis of a single regime against the alternative of two regimes.
Zip File of Gauss Programs and Data
Zip File of Matlab Programs and Data
Some of the above material is based upon work supported by the National Science Foundation under Grants No. SES-9022176, SES-9120576, SBR-9412339, and SBR-9807111.
Any opinions, findings, and conclusions, or recommendations expressed in this material are those of the author(s), and do not necessarily reflect the views of the NSF.