Where to find program/algorithm for Hamilton's Markov-switching


Where can I find a program/algorithm for Markov-switching by Hamilton?

Tags: asked December 2, 2013

1 Answer


Here is a link to some GAUSS programs for Markov switching from Dr. Hamilton's website. Some of them require the GAUSS add-on package Optmum.

This page includes the following programs:

  • Programs for estimation of Markov-switching models by numerical optimization.
  • Programs for estimation of Markov-switching models using the EM algorithm.
  • Programs for specification testing of Markov-switching models
  • Estimation of Markov-switching ARCH models
  • Bivariate analysis of SWARCH and Markov-switching autoregression
  • Algorithms for real-time recession dating