State-Space Models with Regime Switching (BOK)

Kim Chang-Jin

699,00 69900
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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 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.

Produktfakta

Språk Engelsk Engelsk Innbinding Innbundet
Utgitt 1999 Forfatter Kim Chang-Jin
Forlag
MIT University Press Group Ltd
ISBN 9780262112383
Antall sider 311 Dimensjoner 16cm x 23,6cm x 2,4cm
Vekt 624 gram Leverandør Bertram Trading Ltd