Markov-Switching Model with R

I. Installation

1. Install R and RStudio 

R installation

RSudio installation

old version of RSudio installation

2. Howto 

R Programming Tutorial - Learn the Basics of Statistical Computing


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

     1) AR(0) model

       code  :  y0.R

       output :  y0_R.out

       data : gnp82d.dat

    2) AR(1) model

       code  :  y1.R

       output :  y1_R.out

    3) AR(2) model

       code  :  y2.R

       output :  y2_R.out

    4) AR(3) model

       code  :   y3.R

       output :  y3_R.out

    5) AR(4) model

       code  :   y4.R

       output :  y4_R.out

2. Mixture distribution 

   1. ppt :  Markov-switching model

    1) Markov-switching AR(0) model 

       code  :  ms0.R

       output :   ms0_R.out

       data : gnp82d.dat

       code  :   ms0d.R

       output :  ms0d_R.out

    2) Markov-switching AR(1) model 

       code  :   ms1.R

       output :  ms1_R.out


V. FIML Markov-Switching Model (Jae-Ho Yoon)

    -  ppt ; Housing Business Cycles in the Asset Economy , 2020


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 

R in the Supercomputer 2020

Supercomputer 2019

Markov-switching model with Gauss 2022

Housing Business Cycles 2014 -

Monte Carlo simulation in R 2020


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