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State-space models with regime...
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State-space models with regime switching classical and Gibbs-sampling approaches with applications / Chang-Jin Kim and Charles R. Nelson.
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Bibliographic Details
Main Author:
Kim, Chang-Jin, 1960-
Other Authors:
Nelson, Charles R.
Format:
eBook
Language:
English
Published:
Cambridge, Mass. :
MIT Press,
c1999.
Series:
Ebsco e-book purchased.
Subjects:
Economics
>
Mathematical models.
State-space methods.
Heteroscedasticity.
Sampling (Statistics)
Econometrics.
Markov processes.
Econometric models.
Electronic resources (E-books)
Electronic books.
Online Access:
Click to view e-book
Holy Cross Note:
Loaded electronically.
Electronic access restricted to members of the Holy Cross Community.
This was purchased from Ebsco with a single user license.
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Description
Table of Contents
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Table of Contents:
State-Space Models and Markov Switching in Econometrics: A Brief History
Computer Programs and Data
The Classical Approach
The Maximum Likelihood Estimation Method: Practical Issues
Maximum Likelihood Estimation and the Covariance Matrix of OML
The Prediction Error Decomposition and the Likelihood Function
Parameter Constraints and the Covariance Matrix of OML
State-Space Models and the Kalman Filter
Time-Varying-Parameter Models and the Kalman Filter
State-Space Models and the Kalman Filter
Application 1: A Decomposition of Real GDP and the Unemployment Rate into Stochastic Trend and Transitory Components
Application 2: An Application of the Time-Varying-Parameter Model to Modeling Changing Conditional Variance
Application 3: Stock and Watson's Dynamic Factor Model of the Coincident Economic Indicators
GAUSS Programs to Accompany Chapter 3
Markov-Switching Models
Introduction: Serially Uncorrelated Data and Switching
Serially Correlated Data and Markov Switching
Issues Related to Markov-Switching Models
Application 1: Hamilton's Markov-Switching Model of Business Fluctuations
Application 2: A Unit Root in a Three-State Markov-Switching Model of the Real Interest Rate
Application 3: A Three-State Markov-Switching Variance Model of Stock Returns
GAUSS Programs to Accompany Chapter 4
State-Space Models with Markov Switching
Specification of the Model
The Basic Filter and Estimation of the Model
Smoothing
An Evaluation of the Kim Filter and Approximate MLE.
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