FIML Markov-switching model

I. Installation

1. Install R and RStudio

R installation

RSudio installation

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)

1) paper : A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle, Econometrica , March 1989

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

R in the Supercomputer 2020

Markov-switching model with Gauss 2020

Housing Business Cycles 2014 -


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