I. Installation
1. Install R and RStudio
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)
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
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
VI. References
Supercomputer 2019
Markov-switching model with Gauss 2022
Housing Business Cycles 2014 -
Monte Carlo simulation in R 2020