State-space models with regime switching classical and Gibbs-sampling approaches with applications
"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 classi...
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| Format: | eBook |
| Language: | English |
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Cambridge, Mass.
MIT Press
1999
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| Collection: | MIT Press eBook Archive - Collection details see MPG.ReNa |
| Summary: | "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."--Jacket |
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| Physical Description: | xii, 297 pages illustrations |
| ISBN: | 0262277115 9780262277112 0585087164 9780585087160 |