Markov-Switching Model with Pytorch
I. Installation
1. Install Linux on USB
How to make a bootable Linux USB drive
2. Install Anaconda , Python, Jupyter notebook, Pytorch
Anaconda, Python, Jupyter, Pytorch installation
3. Howto Pytorch
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, 357-384, (Mar., 1989)
2) code (Gauss) : http://econweb.ucsd.edu/~jhamilto/Markov1.zip
3) book : https://press.princeton.edu/books/hardcover/9780691042893/time-series-analysis
III. 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)
IV. Introduction to Markov-Switching Model
1. Normal distribution
1. ppt : Classical linear regression
2. ppt : Time Series
2. Mixture distribution
1. ppt : Markov-switching model
V. FIML Markov-Switching Model (Jae-Ho Yoon)
Theory of Housing Business Cycles (H V=P Y)
- ppt ; Housing Business Cycles in the Asset Economy , 2020
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
VI. References
Markov-switching model with R 2022
Monte Carlo simulation in R 2020
Markov-switching model with Gauss 2022
Housing Business Cycles 2014 -
Supercomputer 2019