I. Installation
Special GAUSS Offers for Academics
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, Vol. 57, No. 2 (Mar., 1989), 357-384
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 (Gauss) : y0.opt
output : Y0.OUT
data : gnp82d.dat
2) AR(1) model
code (Gauss) : y1.opt
output : Y1.OUT
3) AR(2) model
code (Gauss) : y2.opt
output : Y2.OUT
4) AR(3) model
code (Gauss) : y3.opt
output : Y3.OUT
5) AR(4) model
code (Gauss) : y4.opt
output : Y4.OUT
2. Mixture distribution
1. ppt : Markov-switching model
1) Markov-switching AR(0) model
code (Gauss) : yoon0sa.opt
output : YOON0SA.OUT
code (Gauss) : yoon0sb.opt
output : YOON0SB.OUT
data : gnp82d.dat
code (Gauss) : yoon0db.opt
output : YOON0DB.OUT
2) Markov-switching AR(1) model
code (Gauss) : yoon1s.opt
output : YOON1S.OUT
code (Gauss) : yoon1d.opt
output : YOON1D.OUT
3) Markov-switching AR(2) model
code (Gauss) : yoon2s.opt
output : YOON2S.OUT
code (Gauss) : yoon2d.opt
output : YOON2D.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)
1. Theory of Housing Business Cycles (H V=P Y)
- ppt ; Housing Business Cycles in the Asset Economy , 2020
2. Publications
Jae-Ho Yoon, 2006. "The Co-movement of Inflation and the Real Growth of Output," The Journal of the Korean Economy, Vol. 7, No. 2 (Winter 2006), 213-229
Jae-Ho Yoon, Joo-Hyung Lee, 2014. "The Linked Movement of House Prices and GDP in the G7 Countries," The Korea Spatial Planning Review , Vol. 82, 49-60
Jae-Ho Yoon, Joo-Hyung Lee, 2014. "Marginal Propensity to Consume with Economic Shocks ," 한국산학기술학회논문지, Vol. 15, No 11, 6565-6575
Jae-Ho Yoon, Katarzyna Anna Nawrot, 2022, "Impact of BREXIT on G7 properties ", Applied Economics (SSCI), Vol 54, No. 57, 6551-6558
Jae-Ho Yoon, Young-Wan Goo, Katarzyna Anna Nawrot, 2024, "The linked movement of the housing market and stock market in the G7 asset economy ", Journal of International Studies, (SCOPUS) Vol 17, No. 4, 80-89 https://www.jois.eu/files/5_1473_Yoon et al.pdf
IV. References
Markov-switching model with R 2022
Supercomputer 2019
Housing Business Cycles 2014 -
Markov-switching model with Gauss (0.01 ver.) 2020