beowulfkorea - Markov-switching model

Markov-switching model

1. 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 : http://econweb.ucsd.edu/~jhamilto/Markov1.zip

3) book : https://press.princeton.edu/books/hardcover/9780691042893/time-series-analysis

2. Introduction to Markov-Switching Model

1. Normal distribution

https://en.wikipedia.org/wiki/Normal_distribution

- OLS : https://en.wikipedia.org/wiki/Ordinary_least_squares

- 2SLS : https://en.wikipedia.org/wiki/Instrumental_variables_estimation

- 3SLS : https://en.wikipedia.org/wiki/Simultaneous_equations_model#Three-stage_least_squares_(3SLS)

- MLE : https://en.wikipedia.org/wiki/Maximum_likelihood_estimation

1) An instrumental variable approach to full-information estimators for linear and non-linear econometric models, Hausman, Jerry A, Econometrica,1975, https://dspace.mit.edu/handle/1721.1/63763

2) Identification in linear simultaneous equations models with covariance restrictions : an instrumental variables interpretation, Hausman, Jerry A.; Taylor, William E. ,Econometrica,1983. https://dspace.mit.edu/handle/1721.1/66627

3) Efficient estimation and identification of simultaneous equation models with covariance restrictions, Hausman, Jerry A.; Newey, Whitney K.; Taylor, William E., Econometrica,1987. https://dspace.mit.edu/handle/1721.1/63493

2. Mixture distribution

https://en.wikipedia.org/wiki/Mixture_distribution

3. The History of Markov-switching model

Prof. James D. Hamilton (MS model)

Prof. Kim, Chang Jin (State Space-MS model, LIML MS model)

Prof. Hans-Martin Krolzig (MS-VAR model)

Visiting Prof. 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