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

Hardcover | May 13, 1999

byChang-jin Kim, 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.

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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From Our Editors

Research in macroeconomics has come a long way in the past decade. Now you can learn all about a new path for empirical research with State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications. Chang-Jin Kim and Charles R. Nelson examine both of these styles in equal fashion, considering the tre...

From the Publisher

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 ...

Format:HardcoverDimensions:312 pages, 9 × 6 × 0.62 inPublished:May 13, 1999Publisher:The MIT PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0262112388

ISBN - 13:9780262112383

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From Our Editors

Research in macroeconomics has come a long way in the past decade. Now you can learn all about a new path for empirical research with State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications. Chang-Jin Kim and Charles R. Nelson examine both of these styles in equal fashion, considering the trend and cycle of each system. It also examines a model of recessions, understanding and predicting the turning points in the business cycle and predicting fads and crashes in financial markets.  

Editorial Reviews

This work is refreshingly original and technically masterful, and it will appeal to both professionals and students.