1. Scholars

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

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

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

Jaeho Yoon (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 

2. Statistical hypothesis 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

Jinseo 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 Markov switching 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

5. References

FIML Markov switching model, 2026

Markov Switching Models, 2026

Introduction to Econometrics, 2026