[R] Examples for Markov Chain in Economics

Bradley S. Paye
Fri, 09 Nov 2001 20:52:50 -0000

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}}


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