State-space models with regime switching: classical and gibbs-sampling approaches with applications
Auteur :
Kim, Chang-Jin
Éditeur :
Kim, Chang-JinNelson, Charles R.,
ISBN :
9780262112383
Date de publication :
13 mai 1999
Dimensions :
22,9 x 15,2 x 1,3 cm
Poids :
612 g
Langue :
Anglais
Pays d'origine :
USA
Both state-space models and Markov switching models have been highly productive paths for empirical research in macroeconomics and finance. This book presents advances in econometric methods that make feasible the estimation of models that have both features.