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

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ISBN-10: 0262535505

ISBN-13: 9780262535502

Edition: 1999

Authors: Chang-Jin Kim, Charles R. Nelson

List price: $70.00
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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"…    
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Book details

List price: $70.00
Copyright year: 1999
Publisher: MIT Press
Publication date: 11/3/2017
Binding: Paperback
Pages: 311
Size: 6.06" wide x 9.06" long x 0.56" tall
Weight: 0.946
Language: English