I. Installation
1. Install R and RStudio
old version of RSudio installation
2. Howto
R Programming Tutorial - Learn the Basics of Statistical Computing
II. Markov-Switching Model
(1989, Econometrica, Prof. James D. Hamilton)
2) code (Gauss) : http://econweb.ucsd.edu/~jhamilto/Markov1.zip
3) book : https://press.princeton.edu/books/hardcover/9780691042893/time-series-analysis
III. Introduction to Markov-Switching Model
1. Normal distribution
1. ppt : Classical linear regression
2. ppt : Time Series
1) AR(0) model
code : y0.R
output : y0_R.out
data : gnp82d.dat
2) AR(1) model
code : y1.R
output : y1_R.out
3) AR(2) model
code : y2.R
output : y2_R.out
4) AR(3) model
code : y3.R .R
output : y3_R.out
5) AR(4) model
code : y4.R
output : y4_R.out
2. Mixture distribution
1. ppt : Markov-switching model
1) Markov-switching AR(0) model
code : ms0.R
output : ms0_R.out
data : gnp82d.dat
code : ms0d.R
output : ms0d_R.out
2) Markov-switching AR(1) model
code : ms1.R
output : ms1_R.out
3. Markov-Switching Model examples
Prof. James D. Hamilton (MS model)
Prof. Kim, Chang Jin (State Space-MS model, LIML MS model)
Prof. Hans-Martin Krolzig (MS-VAR model)
Lecturer Yoon, Jae Ho (FIML MS model)
4. FIML Markov-Switching Model (Jae-Ho Yoon)
- paper : Simultaneous equations in the markov-switching model, 2004
- FIML Markov-Switching Model examples
1) Phillips Curve
The Co-movement of Inflation and the Real Growth of Output , 2006
2) ppt ; Housing Business Cycles in the Asset Economy , 2020
The Theory of Housing Business Cycles (H V=P Y)
- real estate CAPM : The linked movement of house price and stock price with shocks, 2017
- US Monetary Policy : US Monetary Policy and the G7 House Business Cycle, 2017
- The Wealth Effect : The Wealth Effect in the G7 House Business Cycle 2018
IV. References
Markov-switching model with Gauss 2020
Housing Business Cycles 2014 -