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

by Chang-Jin Kim and Charles R. Nelson

Book Overview

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...

• 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