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State-space models with regime switching; Classical and Gibbs-Sampling Approa…
"Baik model ruang-keadaan maupun model peralihan Markov telah menjadi jalur yang sangat produktif untuk penelitian empiris dalam ekonomi makro dan keuangan. Buku ini menyajikan kemajuan terkini dalam metode ekonometrik yang memungkinkan estimasi model yang memiliki kedua fitur tersebut. Satu pendekatan, dalam kerangka kerja klasik, memperkirakan fungsi kemungkinan; yang lain, dalam kerangka ker…
- Edition
- -
- ISBN/ISSN
- 9780262277112
- Collation
- 1 online resource (xii, 297 pages)
- Series Title
- Markov Processes
- Call Number
- 519.23 KIM s
State-space models with regime switching :classical and Gibbs-sampling approa…
"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-…
- Edition
- -
- ISBN/ISSN
- 9780585087160
- Collation
- 1 online resource (xii, 297 pages) :illustrations
- Series Title
- -
- Call Number
- -
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