| Description |
1 online resource (xii, 297 pages) : illustrations |
| Physical Medium |
polychrome |
| Description |
text file |
| Bibliography |
Includes bibliographical references and index. |
| Contents |
State-Space Models and Markov Switching in Econometrics: A Brief History -- Computer Programs and Data -- Classical Approach -- Maximum Likelihood Estimation Method: Practical Issues -- Maximum Likelihood Estimation and the Covariance Matrix of OML -- 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 -- Basic Filter and Estimation of the Model -- Smoothing -- An Evaluation of the Kim Filter and Approximate MLE. |
| Local Note |
eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - North America |
| Subject |
Economics -- Mathematical models.
|
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Economics -- Mathematical models. |
|
State-space methods.
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State-space methods. |
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Heteroscedasticity.
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Heteroscedasticity. |
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Sampling (Statistics)
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Sampling (Statistics) |
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Econometrics.
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Econometrics. |
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Markov processes.
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Markov processes. |
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Econometric models.
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Econometric models. |
| Genre/Form |
Electronic books.
|
| Added Author |
Nelson, Charles R.
|
| Other Form: |
Print version: Kim, Chang-Jin, 1960- State-space models with regime switching. Cambridge, Mass. : MIT Press, ©1999 0262112388 (DLC) 98044193 (OCoLC)39897352 |
| ISBN |
0585087164 (electronic book) |
|
9780585087160 (electronic book) |
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9780262277761 (electronic book) |
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026227776X (electronic book) |
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0262112388 |
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