Markov-switching model

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://ideas.repec.org/e/pki84.html

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 

1.1. PPT made by Google Gemini

Markov switching model 

LIML Markov switching model  

FIML Markov switching model  

Markov switching model with CDTP

2. 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

3. 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

3.1. 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

3.2. Literature Review

Jerry A. Hausman (1975).  An Instrumental Variable Approach to Full Information Estimators for Linear and Certain Nonlinear Econometric Models.  Econometrica, 43(4), 727-738.    

https://doi.org/10.2307/1913081

Working paper (MIT. Dept. of Economics) ; no. 127

PPT made by Google Gemini

Jerry A. Hausman and William E. Taylor  (1983). Identification in Linear Simultaneous Equations Models with Covariance Restrictions: An Instrumental Variables Interpretation. Econometrica, 51(5), 1527-1549.

https://doi.org/10.2307/1912288

Working paper (MIT. Dept. of Economics) ; no. 280

PPT made by Google Gemini

4. References

PPT made by Google Gemini 

Bayes' Theorem

The Markov switching model is a parametric model

Random Walk Breakthrough 

The Capital Asset Pricing Model

Monte Carlo Simulation

Gibbs Sampling