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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...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Cambridge, Mass. :
MIT Press,
©1999.
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| Colección: | MIT Press Ser.
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| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | "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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| Descripción Física: | 1 online resource (xii, 297 pages) : illustrations |
| Bibliografía: | Includes bibliographical references and index. |
| ISBN: | 9780585087160 0585087164 9780262277112 0262277115 9780262112383 0262112388 |