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State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications (Hardcover)

Chang-Jin Kim

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ISBN 10: 0262112388 / ISBN 13: 9780262112383
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Hardcover. Both state-space models and Markov switching models have been highly productive paths for empirical research in macroeconomics and finance. This book presents advances in econ.Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability. 250 pages. 0.635. Bookseller Inventory # 9780262112383

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Bibliographic Details

Title: State-Space Models with Regime Switching: ...

Publication Date: 1999

Binding: Hardcover

Book Condition:New

About this title

Synopsis:

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.

About the Author:

Chang-Jin Kim is Associate Professor of Economics at Korea University. Charles R. Nelson is the Ford and Luisa Van Voorhis Professor of Political Economy, Professor of Economics, and Director of the Institute for Economic Research at the University of Washington, Seattle.

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