1. People

James D. Hamilton (Markov switching model)  https://econweb.ucsd.edu/~jhamilton/

Hans-Martin Krolzig (MS-VAR model)  https://ideas.repec.org/e/pkr17.html

Kim, Chang Jin (State Space-MS model, LIML MS model)  https://econ.washington.edu/people/chang-jin-kiml

Yoon, Jae Ho (FIML MS model)  https://sites.google.com/site/beowulfkorea/

Demian Pouzo, Zacharias Psaradakis, Martin Sola (MS model with CDTP) https://doi.org/10.3982/ECTA17249 

PPT made by Google Gemini

Markov switching model 

LIML Markov switching model  

FIML Markov switching model  

Markov switching model with CDTP

2. Test

Marine Carrasco, Liang Hu, Werner Ploberger  https://doi.org/10.3982/ECTA8609 

Andrew V. Carter, Douglas G. Steigerwald   https://doi.org/10.3982/ECTA9622

Jin Seo Cho, Halbert White  https://doi.org/10.1111/j.1468-0262.2007.00809.x 

3. Introduction to Markov-switching model

(Normal distribution)

1. Classical linear regression

2. 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

(Mixture distribution) 

   1. 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

4. FIML MS model

Yoon, J. H., & Nawrot, K. A. (2022). Impact of Brexit on G7 properties. Applied Economics, 54(57), 6551–6558. https://doi.org/10.1080/00036846.2022.2072465 

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, 17(4), 80-89.

https://doi.org/10.14254/2071-8330.2024/17-4/5

Jaeho Yoon, Katarzyna A. Nawrot (2025, August 18-22) US Monetary Policy and the Common Housing Business Cycles in the U.S., Japan and Korea [Paper presentation].  2025 World Congress of the Econometric Society (ESWC 2025): Seoul, Korea.

https://www.econometricsociety.org/regional-activities/conference-papers/view/282/856

PPT made by Google Gemini

Impact of Brexit on G7 properties

The linked movement of the housing market and stock market in the G7 asset economy

5. References

PPT made by Google Gemini 

The Markov switching model is a parametric model

Random Walk Breakthrough 

The Capital Asset Pricing Model