Econometrics in a Statistical Computing Software R

This site aims to distribute some materials of a statistical computing software R and econometrics.

When you have questions, contact me at amatsumo[at]fc4.so-net.ne.jp (replace [at] with @)

 or find me on facebook (search "Atsushi Matsumoto" whose profile photo is a pig).

last updated: 9 April 2013

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Materials for R

        ・Time series analysis using R: Estimation of stationary and non-stationary models

　　　　This manual overviews the estimation procedures for univariate/multivariate, stationary/non-stationary time series processes;

                  ARIMA, VAR, GARCH, EGARCH, GJR models.

        ・ Diagnostic checking of GARCH model

          ・ Akaike's Information Criteria computing of GARCH model

                 The two programs above are the supplement of the first manual.

 R manuals and programs for Markov Switching models（in English)

        ・Estimation of Markov Switching model using a statistical computing software R

                  This manual overviews my program for estimating MS model with time varying transition probability,

                   using the maximum likelihood estimation. The filtered probabilities are obtained by the Hamilton filter.

                   The state is assumed to follow two states Markov Chain. The program is here.

        ・Estimating Markov Switching model using Gibbs sampling with a statistical computing software R

               This manual overviews my program for estimating MS model with time varying transition probability,

                   using Gibbs sampling. Since the maximum likelihood estimation often bring fragile results in MS model estimation,

                   Gibbs sampling is preffered in order to get robust results. The program is here. The data are here  and here.

        ・The data used in the above manuals are here.

                   Data of Nikkei 225(1996.Jan.4-2006.Nov.2)

                   Data for VAR model estimation(1991.Jul-2001.Feb)

                   Data for MS model estimation(1991.Jul-1997.Jul)

Materials for econometrics

          ・ Lecture notes of econometrics for graduate school students

Administrator's Backgrounds

        Apr.2000 -- Mar.2003    ,  Osaka Prefectural Imamiya Senior High School

        Apr.2003 -- Mar.2006    ,  Faculty of Business, Osaka City University, skipped the 4th grade

        Apr.2006 -- Mar.2008    ,  Osaka School of International Publich Policy, Osaka University, M.A.

        Apr.2008 -- Mar.2011    ,  Economist for Japanese economy, Economic Research Division, Thinktank of Financial Group

        Apr.2011 -- Mar.2013    ,  Economist for European economy, Research Division on Overseas Economies , Government Agency

        Apr.2013 -- present       ,   Economist for European economy, Financial Market Division, Thinktank of Fiancial Group

Administrator's Academic Activities

        The effect of monetary policy on the business cycle transition in Japan:

             an investigation using Markov switching model

             (Master Thesis at Osaka University, in Japanese)

         The effect of monetary policy on the business cycle transition in Japan:

             an investigation using Markov switching model considering the endogenity of the state 

              (Presented at Kansai Economic Society, Feb.10 2008, in Japanese)