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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-…
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- 9780585087160
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- 1 online resource (xii, 297 pages) :illustrations
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