• Journal of the Korea Academia-Industrial cooperation Society
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• v.15 no.11
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• pp.6565-6575
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• 2014

Hamilton's Markov-switching model [5] was extended to the simultaneous equations model. A framework for an instrumental variable interpretation of full information maximum likelihood (FIML) by Hausman [4] can be used to deal with the problem of simultaneous equations based on the Hamilton filter [5]. A comparison of the proposed FIML Markov-switching model with the LIML Markov-switching models [1,2,3] revealed the LIML Markov-switching models to be a special case of the proposed FIML Markov-switching model, where all but the first equation were just identified. Moreover, the proposed Markov-switching model is a general form in simultaneous equations and covers a broad class of models that could not be handled previously. Excess sensitivity of marginal propensity to consume with big shocks, such as housing bubble bursts in 2008, can be determined by applying the proposed model to Campbell and Mankiw's consumption function [6], and allowing for the possibility of structural breaks in the sensitivity of consumption growth to income growth.

• Proceedings of the Korean Society of Plant Pathology Conference
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• 2005.04a
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• pp.70.1-70.1
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• 2005