Markov-Switching Model with Gauss
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
Supercomputer 2019
Housing Business Cycles 2014 -
Markov-switching model with Gauss (0.01 ver.) 2020