Oписание

Leader01293pam a2200313 a 4500
0011013862
003LB
00520140317150220.0
008140314s1999 uk a b 001 0 eng
020 a: 0262112388
035 a: (DLC) 1013862
040 a: DLCd: LB
08200a: 330.0
1001 a: Kim, Chang-Jind: 1960-
24510a: State-space Models with Regime Switchingb: Classical and Gibbs-sampling Approaches with Applicationsc: Chang-Jin Kim and Charles R. Nelson
260 a: Cambridgeb: MIT Pressc: 1999
300 a: XII, 297 p.b: ill.
504 a: Includes bibliographical references and index
7001 a: Nelson, Charles R.

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Аннотация


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.

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