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

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Chang-Jin Kim Charles R. Nelson

State-Space Models with Regime Switching

Classical and Gibbs-Sampling Approaches with Applications

Chang-Jin Kim, Charles R. Nelson

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English

MIT Press
03 November 2017

Econometrics

Series: State-Space Models with Regime Switching

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.

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.

By: Chang-Jin Kim, Charles R. Nelson
Imprint: MIT Press
Country of Publication: United States
Dimensions: Height: 229mm, Width: 152mm, Spine: 13mm
ISBN: 9780262535502
ISBN 10: 0262535505
Series: State-Space Models with Regime Switching
Pages: 312
Publication Date: 03 November 2017
Recommended Age: From 18 years
Audience: College/higher education , Professional and scholarly , A / AS level , Further / Higher Education
Format: Paperback
Publisher's Status: Active

Chang-Jin Kim is Bryan C. Cressey Professor in the Department of Economics at the University of Washington. Charles Nelson is Ford and Louisa Van Voorhis Professor in the Department of Economics at the University of Washington.