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Mixing Kohonen Algorithm, Markov Switching Model and Detection of Multiple Change-Points: An Application to Monetary History

Author

Listed:
  • Marie-Th'er`ese Boyer-Xambeu

    (LED - EA3391)

  • Ghislain Deleplace

    (LED - EA3391)

  • Patrice Gaubert

    (SAMOS)

  • Lucien Gillard

    (LED - EA3391)

  • Madalina Olteanu

    (SAMOS)

Abstract

The present paper aims at locating the breakings of the integration process of an international system observed during about 50 years in the 19th century. A historical study could link them to special events, which operated as exogenous shocks on this process. The indicator of integration used is the spread between the highest and the lowest among the London, Hamburg and Paris gold-silver prices. Three algorithms are combined to study this integration: a periodization obtained with the SOM algorithm is confronted to the estimation of a two-regime Markov switching model, in order to give an interpretation of the changes of regime; in the same time change-points are identified over the whole period providing a more precise interpretation of the various types of regulation.

Suggested Citation

  • Marie-Th'er`ese Boyer-Xambeu & Ghislain Deleplace & Patrice Gaubert & Lucien Gillard & Madalina Olteanu, 2007. "Mixing Kohonen Algorithm, Markov Switching Model and Detection of Multiple Change-Points: An Application to Monetary History," Papers 0710.0745, arXiv.org.
    • Handle: RePEc:arx:papers:0710.0745
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    References listed on IDEAS

    as
    1. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
    2. Cottrell, M. & Gaubert, P. & Rousset, P. & Letremy, P., 1999. "Analyzing and Representing Multidimentional Quantitative an Qualitative Data: Demographic Study of the Rhone Valley. The Domestic Consumption of the Canadian Families," Papiers d'Economie Mathématique et Applications 1999-09, Université Panthéon-Sorbonne (Paris 1).
    3. Marie Cottrell & Patrice Gaubert & Patrick Letremy & Patrick Rousset, 1999. "Analyzing and representing multidimensional quantitative and qualitative data: Demographic study of the Rhône valley. The domestic consumption of the Canadian families," Cahiers de la Maison des Sciences Economiques r99009, Université Panthéon-Sorbonne (Paris 1).
    4. Marie Cottrell & Patrice Gaubert & Patrick Letremy & Patrick Rousset, 1999. "Analyzing and representing multidimensional quantitative and qualitative data: Demographic study of the Rhône valley. The domestic consumption of the Canadian families," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03707207, HAL.
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