RATS programs to estimate Hamilton-Susmel Markov Switching ARCH model
AbstractReplication file for Hamilton and Susmel(1994), "Autoregressive Conditional Heteroskedasticity and Changes in Regime," Journal of Econometrics, vol 64, pp 307-333. This does Markov Switching ARCH models.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTZ00083.
Programming language: RATS
Requires: RATS 8.00
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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Other versions of this item:
- Hamilton, James D. & Susmel, Raul, 1994. "Autoregressive conditional heteroskedasticity and changes in regime," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 307-333.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
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