State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications - Couverture souple

Kim, Chang-Jin; Nelson, Charles R.

 
9780262535502: State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications
Couverture souple
ISBN 10 : 0262535505 ISBN 13 : 9780262535502
Editeur : MIT Press, 2017

Synopsis

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 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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l?auteur

Chang-Jin Kim is Bryan C. Cressey Professor in the Department of Economics at the University of Washington.

Charles Nelson is Ford and Louisa Van Voorhis Professor in the Department of Economics at the University of Washington.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
MIT Press
Date d'édition
2017
Langue
anglais
ISBN 10 
0262535505
ISBN 13 
9780262535502
Reliure
Broché
Nombre de pages
311
Coordonnées du fabricant
non disponible
Personne responsable
gpsr@libri.de
gpsr@libri.de

Europaallee 1
Bad Hersfeld
36244
Allemagne

Autres éditions populaires du même titre

9780262112383: State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications

Edition présentée

ISBN 10 :  0262112388 ISBN 13 :  9780262112383
Editeur : The MIT Press, 1999
Couverture rigide