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State-space models with regime switching : classical and gibbs-sampling approaches with applications
Autor: Chang-Jin Kim, Charles R. Nelson
Rok: 1999
ISBN: 9780262112383
OKCZID: 110077527
Citace (dle ČSN ISO 690):
KIM, Chang-Jin. State-space models with regime switching: classical and gibbs-sampling approaches with applications. London: The MIT Press, [1999]. xii, 297 stran.
Anotace
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.