State-Space Models with Regime Switching 在線電子書 pdf 下載 txt下載 epub 下載 mobi 下載 2024

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Chang-kim Kim 作者

MIT Press

譯者

1999-6-18 出版日期

302 頁數

GBP 45.95 價格

Hardcover

叢書系列

9780262112383 圖書編碼

State-Space Models with Regime Switching 在線電子書圖書標籤: state space Statistics

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發表於2024-11-26

State-Space Models with Regime Switching 在線電子書 epub 下載 mobi 下載 pdf 下載 txt 下載 2024

State-Space Models with Regime Switching 在線電子書 epub 下載 pdf 下載 mobi 下載 txt 下載 2024

State-Space Models with Regime Switching 在線電子書 pdf 下載 txt下載 epub 下載 mobi 下載 2024

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State-Space Models with Regime Switching 在線電子書 pdf 下載 txt下載 epub 下載 mobi 在線電子書下載

State-Space Models with Regime Switching 在線電子書圖書描述

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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