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State-space models with regime switching : classical and Gibbs-sampling approaches with applications / Chang-Jin Kim and Charles R. Nelson.

By: Contributor(s): Material type: TextTextPublisher: Cambridge, Mass. : MIT Press, [1999]Copyright date: ©1999Description: xii, 297 pages : illustrations ; 24 cmContent type:
  • text
Media type:
  • unmediated
Carrier type:
  • volume
ISBN:
  • 0262112388
  • 9780262112383
Subject(s): DDC classification:
  • 330.015118 21
LOC classification:
  • HB135 .K515 1999
Contents:
Preface and Acknowledgments -- 1. Introduction -- I. The Classical Approach -- 2. The Maximum Likelihood Estimation Method: Practical Issues -- 3. State-Space Models and the Kalman Filter -- 4. Markov-Switching Models -- 5. State-Space Models with Markov Switching -- 6. State-Space Models with Heteroskedastic Disturbances -- II. The Gibbs-Sampling Approach -- 7. An Introduction to Bayesian Inference and Gibbs-Sampling -- 8. State-Space Models and Gibbs-Sampling -- 9. Markov-Switching Models and Gibbs-Sampling -- 10. State-Space Models with Markov Switching and Gibbs-Sampling -- 11. Gibbs-Sampling and Parameter Uncertainty: Testing for Mean Reversion in Heteroskedastic Data -- Index.
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Holdings
Item type Current library Call number Copy number Status Date due Barcode
Book City Campus City Campus Main Collection 330.015118 KIM (Browse shelf(Opens below)) 1 Available A264358B

Includes bibliographical references and index.

Preface and Acknowledgments -- 1. Introduction -- I. The Classical Approach -- 2. The Maximum Likelihood Estimation Method: Practical Issues -- 3. State-Space Models and the Kalman Filter -- 4. Markov-Switching Models -- 5. State-Space Models with Markov Switching -- 6. State-Space Models with Heteroskedastic Disturbances -- II. The Gibbs-Sampling Approach -- 7. An Introduction to Bayesian Inference and Gibbs-Sampling -- 8. State-Space Models and Gibbs-Sampling -- 9. Markov-Switching Models and Gibbs-Sampling -- 10. State-Space Models with Markov Switching and Gibbs-Sampling -- 11. Gibbs-Sampling and Parameter Uncertainty: Testing for Mean Reversion in Heteroskedastic Data -- Index.

Machine converted from AACR2 source record.

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