State-space models with regime switching :classical and Gibbs-sampling approaches with applications

Search by :

ALL Author Subject ISBN/ISSN Advanced Search

Last search:

State-space models with regime switching :classical and Gibbs-sampling approaches with applications

Kim, Chang-Jin, - Personal Name; Nelson, Charles R. - Personal Name;

"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."--Jacket.OCLC-licensed vendor bibliographic record.

Availability

No copy data

Detail Information

Series Title: -
Call Number: -
Publisher: Cambridge, Mass. : : MIT Press,., 1999.
Collation: 1 online resource (xii, 297 pages) :illustrations
Language: English
ISBN/ISSN: 9780585087160
Classification: -
Content Type: -
Media Type: -
Carrier Type: -
Edition: -
Subject(s): Economics
State-space methods.
Heteroscedasticity.
Sampling (Statistics)
Econometrics.
Markov processes.
Econometric models.
Specific Detail Info: -
Statement of Responsibility: Chang-Jin Kim and Charles R. Nelson.

Other version/related

No other version available

File Attachment

No Data

Comments

You must be logged in to post a comment