State-space models with regime switching: classical and Gibbs-sampling approaches with applications
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| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
MIT Press
©1999
|
| Schlagworte: | |
| Online-Zugang: | FAW01 FAW02 Volltext |
| Beschreibung: | Includes bibliographical references and index 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. |
| Beschreibung: | 1 Online-Ressource (xii, 297 pages) |
| ISBN: | 0262112388 026227776X 0585087164 9780262277761 9780585087160 |
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Datensatz im Suchindex
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| author | Kim, Chang-Jin |
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| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| spelling | Kim, Chang-Jin Verfasser aut State-space models with regime switching classical and Gibbs-sampling approaches with applications Chang-Jin Kim and Charles R. Nelson Cambridge, Mass. MIT Press ©1999 1 Online-Ressource (xii, 297 pages) txt rdacontent c rdamedia cr rdacarrier Includes bibliographical references and index 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. Économie politique / Modèles mathématiques Espace état, Méthodes de l' Hétéroscédasticité Échantillonnage (Statistique) Économétrie BUSINESS & ECONOMICS / Economics / Theory bisacsh Econometric models fast Econometrics fast Economics / Mathematical models fast Heteroscedasticity fast Markov processes fast Sampling (Statistics) fast State-space methods fast Markov processes Econometric models Mathematisches Modell Wirtschaft Ökonometrisches Modell Economics Mathematical models State-space methods Heteroscedasticity Sampling (Statistics) Econometrics Ökonometrie (DE-588)4132280-0 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Markov-Prozess (DE-588)4134948-9 gnd rswk-swf Gibbs-sampling (DE-588)4352359-6 gnd rswk-swf Ökonometrie (DE-588)4132280-0 s Zeitreihenanalyse (DE-588)4067486-1 s Gibbs-sampling (DE-588)4352359-6 s Markov-Prozess (DE-588)4134948-9 s 1\p DE-604 Nelson, Charles R. Sonstige oth http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=9231 Aggregator Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Kim, Chang-Jin State-space models with regime switching classical and Gibbs-sampling approaches with applications Économie politique / Modèles mathématiques Espace état, Méthodes de l' Hétéroscédasticité Échantillonnage (Statistique) Économétrie BUSINESS & ECONOMICS / Economics / Theory bisacsh Econometric models fast Econometrics fast Economics / Mathematical models fast Heteroscedasticity fast Markov processes fast Sampling (Statistics) fast State-space methods fast Markov processes Econometric models Mathematisches Modell Wirtschaft Ökonometrisches Modell Economics Mathematical models State-space methods Heteroscedasticity Sampling (Statistics) Econometrics Ökonometrie (DE-588)4132280-0 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd Markov-Prozess (DE-588)4134948-9 gnd Gibbs-sampling (DE-588)4352359-6 gnd |
| subject_GND | (DE-588)4132280-0 (DE-588)4067486-1 (DE-588)4134948-9 (DE-588)4352359-6 |
| title | State-space models with regime switching classical and Gibbs-sampling approaches with applications |
| title_auth | State-space models with regime switching classical and Gibbs-sampling approaches with applications |
| title_exact_search | State-space models with regime switching classical and Gibbs-sampling approaches with applications |
| title_full | State-space models with regime switching classical and Gibbs-sampling approaches with applications Chang-Jin Kim and Charles R. Nelson |
| title_fullStr | State-space models with regime switching classical and Gibbs-sampling approaches with applications Chang-Jin Kim and Charles R. Nelson |
| title_full_unstemmed | State-space models with regime switching classical and Gibbs-sampling approaches with applications Chang-Jin Kim and Charles R. Nelson |
| title_short | State-space models with regime switching |
| title_sort | state space models with regime switching classical and gibbs sampling approaches with applications |
| title_sub | classical and Gibbs-sampling approaches with applications |
| topic | Économie politique / Modèles mathématiques Espace état, Méthodes de l' Hétéroscédasticité Échantillonnage (Statistique) Économétrie BUSINESS & ECONOMICS / Economics / Theory bisacsh Econometric models fast Econometrics fast Economics / Mathematical models fast Heteroscedasticity fast Markov processes fast Sampling (Statistics) fast State-space methods fast Markov processes Econometric models Mathematisches Modell Wirtschaft Ökonometrisches Modell Economics Mathematical models State-space methods Heteroscedasticity Sampling (Statistics) Econometrics Ökonometrie (DE-588)4132280-0 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd Markov-Prozess (DE-588)4134948-9 gnd Gibbs-sampling (DE-588)4352359-6 gnd |
| topic_facet | Économie politique / Modèles mathématiques Espace état, Méthodes de l' Hétéroscédasticité Échantillonnage (Statistique) Économétrie BUSINESS & ECONOMICS / Economics / Theory Econometric models Econometrics Economics / Mathematical models Heteroscedasticity Markov processes Sampling (Statistics) State-space methods Mathematisches Modell Wirtschaft Ökonometrisches Modell Economics Mathematical models Ökonometrie Zeitreihenanalyse Markov-Prozess Gibbs-sampling |
| url | http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=9231 |
| work_keys_str_mv | AT kimchangjin statespacemodelswithregimeswitchingclassicalandgibbssamplingapproacheswithapplications AT nelsoncharlesr statespacemodelswithregimeswitchingclassicalandgibbssamplingapproacheswithapplications |