State-Space Models with Regime Switching 在线电子书 pdf 下载 txt下载 epub 下载 mobi 下载 2024

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Chang-kim Kim 作者

MIT Press

译者

1999-6-18 出版日期

302 页数

GBP 45.95 价格

Hardcover

丛书系列

9780262112383 图书编码

State-Space Models with Regime Switching 在线电子书图书标签: state space Statistics

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State-Space Models with Regime Switching 在线电子书 epub 下载 mobi 下载 pdf 下载 txt 下载 2024

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State-Space Models with Regime Switching 在线电子书图书描述

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.

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