Rivera Galicia Luis Felipe
2001-Nov-07 16:07 UTC
[R] Examples for Markov Chain in Economics
Could anyone tell me where can I find some examples of the applications to economics of a Markov chain? Many thanks in advance. Luis Rivera. -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
On Wed, Nov 07, 2001 at 05:07:36PM +0100, Rivera Galicia Luis Felipe wrote:> Could anyone tell me where can I find some examples of the applications > to economics of a Markov chain?here are a few applications in the context of regional income convergence: @article{Quah93, author = {Danny Quah}, title = {Galton's fallacy and tests of the convergence hypothesis}, journal = {Scandinavian Journal of Economics}, pages = {427-443}, year = 1993, volume = 95 } @article{Quah96, author = {Danny T. Quah}, title = {Empirics for economic growth and convergence}, journal = {European Economic Review}, pages = {1353-1375}, year = 1996, volume = 40 } @article{Rey01ga, author={Sergio J. Rey}, title={Spatial empirics for regional economic growth and convergence}, journal={Geographical Analysis}, year={2001}, volume={33}, number={3}, pages={195-214}} -- Sergio J. Rey http://typhoon.sdsu.edu/rey.html GPG fingerprint = 16DB 4934 E0F1 B386 AE81 D379 914C 33E5 F690 95DF emacs "Powerful, but only for those who have more time than sense." Stewart Stremler -------------- next part -------------- A non-text attachment was scrubbed... Name: not available Type: application/pgp-signature Size: 232 bytes Desc: not available Url : https://stat.ethz.ch/pipermail/r-help/attachments/20011108/23d13f82/attachment.bin
Aboubakar Maitournam wrote:> Serge Rey wrote: > > > On Wed, Nov 07, 2001 at 05:07:36PM +0100, Rivera Galicia Luis Felipe wrote: > > > Could anyone tell me where can I find some examples of the applications > > > to economics of a Markov chain? > > > > here are a few applications in the context of regional income > > convergence: > > > > @article{Quah93, > > author = {Danny Quah}, > > title = {Galton's fallacy and tests of the convergence hypothesis}, > > journal = {Scandinavian Journal of Economics}, > > pages = {427-443}, > > year = 1993, > > volume = 95 > > } > > > > @article{Quah96, > > author = {Danny T. Quah}, > > title = {Empirics for economic growth and convergence}, > > journal = {European Economic Review}, > > pages = {1353-1375}, > > year = 1996, > > volume = 40 > > } > > > > @article{Rey01ga, > > author={Sergio J. Rey}, > > title={Spatial empirics for regional economic growth and convergence}, > > journal={Geographical Analysis}, > > year={2001}, > > volume={33}, > > number={3}, > > pages={195-214}} > > > > -- > > Sergio J. Rey http://typhoon.sdsu.edu/rey.html > > GPG fingerprint = 16DB 4934 E0F1 B386 AE81 D379 914C 33E5 F690 95DF > > emacs "Powerful, but only for those who have more time than sense." > > Stewart Stremler > > > > ------------------------------------------------------------------------ > > Part 1.2Type: application/pgp-signatur > > We know the links between time series and markov processes. I think that the > famous book > of Brockwell Davies "times series, theory and practices" will be helpful for > you. In addition there is > in R packages for times series (ts). But the book of Brockwell Davies is > implicitely dedicated for Markov chain. > And sorry because I have not the complete reference of the book (ten years ago > I used it). > > Aboubakar Maitournam.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
Some additional starting points for Markov Chains in economics are: Hamilton, J., "Estimation, Inference, and Forecasting of Time Series Subject to Changes in Regime," Handbook of Statistics, Volume 11, edited by G. S. Maddala, C. R. Rao, and H. D. Vinod, North-Holland, 1993. Hamilton, J., "Analysis of Time Series Subject to Changes in Regime," Journal of Econometrics, July/August 1990 Hamilton, J., Time Series Analysis. Princeton University Press, 1994 (last chapter) Timmermann, A., "Moments of Markov Switching Models", Journal of Econometrics, 2000, 96, 75-111 Chang-Jin Kim and Charles R. Nelson, State-Space Models with Regime Switching. MIT Press, 1999 For an application to finance: Perez-Quiros, G. and Timmermann, A., "Firm Size and Cyclical Variations in Stock Returns", Journal of Finance, 2000, 1229-1262 Hope these are helpful, -Bradley Paye -----Original Message----- From: Serge Rey [mailto:serge at rohan.sdsu.edu] Sent: Wednesday, November 07, 2001 1:11 PM To: r-help at stat.math.ethz.ch Subject: Re: [R] Examples for Markov Chain in Economics On Wed, Nov 07, 2001 at 05:07:36PM +0100, Rivera Galicia Luis Felipe wrote:> Could anyone tell me where can I find some examples of the applications > to economics of a Markov chain?here are a few applications in the context of regional income convergence: @article{Quah93, author = {Danny Quah}, title = {Galton's fallacy and tests of the convergence hypothesis}, journal = {Scandinavian Journal of Economics}, pages = {427-443}, year = 1993, volume = 95 } @article{Quah96, author = {Danny T. Quah}, title = {Empirics for economic growth and convergence}, journal = {European Economic Review}, pages = {1353-1375}, year = 1996, volume = 40 } @article{Rey01ga, author={Sergio J. Rey}, title={Spatial empirics for regional economic growth and convergence}, journal={Geographical Analysis}, year={2001}, volume={33}, number={3}, pages={195-214}} -- Sergio J. Rey http://typhoon.sdsu.edu/rey.html GPG fingerprint = 16DB 4934 E0F1 B386 AE81 D379 914C 33E5 F690 95DF emacs "Powerful, but only for those who have more time than sense." Stewart Stremler -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._