Author: Chang-Jin Kim
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Publisher: The MIT Press
Binding: Hardcover
ISBN: 0262112388
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State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications
Both state-space models and Markov switching models have been highly productive paths for empirical research in macroeconomics and finance.State-Space Models with Regime Switching review. Read full reviews of State-Space Models with Regime Switching by Chang-Jin Kim. 
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Both state-space models and Markov switching models have been highly productive paths for empirical research in macroeconomics and finance. This book presents recent advances in econometric methods that make feasible the estimation of models that have both features. One approach, in the classical framework, approximates the likelihood function; the other, in the Bayesian framework, uses Gibbs-sampling to simulate posterior distributions from data. The authors present numerous applications of the
State-Space Models with Regime Switching : Hardback : MIT Press Ltd : 9780262112383 : 0262112388 : 18 Jun 1999 : Both state-space models and Markov switching models have been highly productive paths for empirical research in macroeconomics and finance. This book presents advances in econometric methods that make feasible the estimation of models that have both features.
Store Search search Title, ISBN and Author State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications by Chang-Jin Kim Estimated delivery 3-12 business days Format Hardcover Condition Brand New Both state-space models and Markov switching models have been highly productive paths for empirical research in macroeconomics and finance. This book presents recent advances in econometric methods that make feasible the estimation of models that have both feature
State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications; ISBN: 0262112388; Condition: Used; Like New
State-Space Models With Regime Switching Classical and Gibbs-Sampling Approaches With Applications, ISBN-13: 9780262112383, ISBN-10: 0262112388
State-Space Models with Regime Switching Reviews
This book presents recent advances in econometric methods that make feasible the estimation of models that have both features. One approach, in the classical framework, approximates the likelihood function; the other, in the Bayesian framework, uses Gibbs-sampling to simulate posterior distributions from data.The authors present numerous applications of these approaches in detail: decomposition of time series into trend and cycle, a new index of coincident economic indicators, approaches to modeling monetary policy uncertainty, Friedman's "plucking" model of recessions, the detection of turning points in the business cycle and the question of whether booms and recessions are duration-dependent, state-space models with heteroskedastic disturbances, fads and crashes in financial markets, long-run real exchange rates, and mean reversion in asset returns.
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