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

by Chang-Jin Kim and Charles R. Nelson

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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.

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Format:Paperback

Language:English

ISBN:0262535505

ISBN13:9780262535502

Release Date:November 2017

Publisher:MIT Press

Length:311 Pages

Weight:1.01 lbs.

Dimensions:0.6" x 6.0" x 8.9"

Age Range:18 years and up

Grade Range:Postsecondary and higher

Related Subjects

Business Business & Investing Econometrics Economics Popular Economics

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

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