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- DescriptionBoth state-space models and Markov switching models have been highly productive paths for empirical research in macroecomics and finance. This book presents recent advances in ecometric 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 ecomic 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.
- Author(s)C. Kim,Chang-Jin Kim,Charles R. Nelson
- PublisherMIT Press Ltd
- Date of Publication18/06/1999
- SubjectEconomics: Professional & General
- Place of PublicationCambridge, Mass.
- Country of PublicationUnited States
- ImprintMIT Press
- Content Note89
- Weight612 g
- Width152 mm
- Height229 mm
- Spine15 mm
- Interest AgeFrom 18
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