State-Space Models with Regime Switching 2024 pdf epub mobi 电子书

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发表于2024-12-23

State-Space Models with Regime Switching 2024 pdf epub mobi 电子书

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出版者:MIT Press

作者:Chang-kim Kim

出品人:

页数:302

译者:

出版时间:1999-6-18

价格:GBP 45.95

装帧:Hardcover

isbn号码:9780262112383

丛书系列:

图书标签: state space Statistics

State-Space Models with Regime Switching 2024 pdf epub mobi 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.

State-Space Models with Regime Switching 2024 pdf epub mobi 电子书

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