HAMILTONSUSMELJOE1994: RATS programs to estimate Hamilton-Susmel Markov Switching ARCH model

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

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.

Language: RATS
Requires: RATS 11.00
Keywords: Markov; switching; ARCH; model (search for similar items in EconPapers)
Date: 2026-01-02
Note: An RPRJ is a specialized zip file including one or more program files and data files. See https://estima.com/ratsfiletypes.shtml
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Downloads: (external link)
https://estima.com/procedures/HamiltonSusmelJOE1994.rprj (application/zip)

Related works:
Journal Article: Autoregressive conditional heteroskedasticity and changes in regime (1994)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtj00041

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