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 

IV. References

Markov-switching model with R 2022

R in the Supercomputer 2020

Supercomputer 2019

Housing Business Cycles 2014 - 

Markov-switching model with Gauss (0.01 ver.) 2020 

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