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RATS programs to estimate Hamilton-Susmel Markov Switching ARCH model

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language RATS Abstract
Replication 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.

Suggested Citation

  • Tom Doan, "undated". "RATS programs to estimate Hamilton-Susmel Markov Switching ARCH model," Statistical Software Components RTZ00083, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rtz00083
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
    as

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    File URL: https://www.estima.com/procs_perl/hamilton_susmel_joe1994.zip
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    Keywords

    Markov switching ARCH model; RATS;

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