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

Kim, Chang-Jin; Nelson, Charles R.

Editore: The MIT Press, 1999
ISBN 10: 0262112388 / ISBN 13: 9780262112383
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Titolo: State-Space Models with Regime Switching: ...

Casa editrice: The MIT Press

Data di pubblicazione: 1999

Legatura: Hardcover

Condizione libro: New


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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.

L'autore: 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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