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Chang-Jin Kim
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Book: State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications
Publisher: The MIT Press
Published: 03 November 2017
DOI: 10.7551/mitpress/6444.003.0001
EISBN: 9780262277112
Book: State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications
Publisher: The MIT Press
Published: 03 November 2017
DOI: 10.7551/mitpress/6444.003.0002
EISBN: 9780262277112
Book: State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications
Publisher: The MIT Press
Published: 03 November 2017
DOI: 10.7551/mitpress/6444.003.0003
EISBN: 9780262277112
Book: State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications
Publisher: The MIT Press
Published: 03 November 2017
DOI: 10.7551/mitpress/6444.003.0004
EISBN: 9780262277112
Book: State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications
Publisher: The MIT Press
Published: 03 November 2017
DOI: 10.7551/mitpress/6444.003.0005
EISBN: 9780262277112
Book: State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications
Publisher: The MIT Press
Published: 03 November 2017
DOI: 10.7551/mitpress/6444.003.0006
EISBN: 9780262277112
Book: State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications
Publisher: The MIT Press
Published: 03 November 2017
DOI: 10.7551/mitpress/6444.003.0007
EISBN: 9780262277112
Book: State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications
Publisher: The MIT Press
Published: 03 November 2017
DOI: 10.7551/mitpress/6444.003.0008
EISBN: 9780262277112
Book: State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications
Publisher: The MIT Press
Published: 03 November 2017
DOI: 10.7551/mitpress/6444.003.0009
EISBN: 9780262277112
Book: State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications
Publisher: The MIT Press
Published: 03 November 2017
DOI: 10.7551/mitpress/6444.003.0010
EISBN: 9780262277112
Book: State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications
Publisher: The MIT Press
Published: 03 November 2017
DOI: 10.7551/mitpress/6444.003.0011
EISBN: 9780262277112
Book: State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications
Publisher: The MIT Press
Published: 03 November 2017
DOI: 10.7551/mitpress/6444.003.0012
EISBN: 9780262277112
Book: State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications
Publisher: The MIT Press
Published: 03 November 2017
DOI: 10.7551/mitpress/6444.003.0013
EISBN: 9780262277112
Book: State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications
Publisher: The MIT Press
Published: 03 November 2017
DOI: 10.7551/mitpress/6444.003.0014
EISBN: 9780262277112
Book: State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications
Publisher: The MIT Press
Published: 03 November 2017
DOI: 10.7551/mitpress/6444.003.0015
EISBN: 9780262277112
Publisher: The MIT Press
Published: 03 November 2017
DOI: 10.7551/mitpress/6444.001.0001
EISBN: 9780262277112
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.