Markov-Switching Model with R

I. Installation

1. Install R and RStudio 

R installation

RSudio installation

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

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)

       Dr. 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)

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 

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 

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