Average Reviews:
(More customer reviews)This book gives a step-by-step treatement of models with regime changes and time varying coefficients. If you are a student or a practitioner you will find this book very useful to start your applications. The first six chapters are very well developed, and the GAUSS codes provided by the authors let you realize how to do the job. These chapters will let you estimate a model using the classical approach. However, the next chapters that cover exactly the same topics using a bayesian approach are not that well developed. The examples and explanations are not clear, and the few examples do not help you generalize the techniques to your own models. The first six chapters, however, make this book worth 5 stars!
Click Here to see more reviews about: State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications
Both state-space models and Markov switching models have been highlyproductive paths for empirical research in macroeconomics and finance. This bookpresents recent advances in econometric methods that make feasible the estimation ofmodels that have both features. One approach, in the classical framework,approximates the likelihood function; the other, in the Bayesian framework, usesGibbs-sampling to simulate posterior distributions from data.The authors presentnumerous applications of these approaches in detail: decomposition of time seriesinto trend and cycle, a new index of coincident economic indicators, approaches tomodeling monetary policy uncertainty, Friedman's "plucking" model of recessions, thedetection of turning points in the business cycle and the question of whether boomsand recessions are duration-dependent, state-space models with heteroskedasticdisturbances, fads and crashes in financial markets, long-run real exchange rates,and mean reversion in asset returns.
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