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