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State-space models with regime switching : classical and Gibbs-sampling approaches with applications

State-space models with regime switching : classical and Gibbs-sampling approaches with applications (91회 대출)

자료유형
단행본
개인저자
Kim, Chang-Jin , 1960-. Nelson, Charles R.
서명 / 저자사항
State-space models with regime switching : classical and Gibbs-sampling approaches with applications / Chang-Jin Kim and Charles R. Nelson.
발행사항
Cambridge, Mass. :   MIT Press ,   c1999.  
형태사항
xii, 297 p. : ill. ; 24 cm.
ISBN
0262112388 (alk. paper) 9780262112383 (alk. paper)
서지주기
Includes bibliographical references and index.
일반주제명
Economics -- Mathematical models. State-space methods. Heteroscedasticity. Sampling (Statistics) Econometrics.
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020 ▼a 0262112388 (alk. paper)
020 ▼a 9780262112383 (alk. paper)
040 ▼a DLC ▼c DLC ▼d UKM ▼d 211009
049 1 ▼l 111213780
050 0 0 ▼a HB135 ▼b .K515 1999
082 0 0 ▼a 330/.01/5118 ▼2 22
090 ▼a 330.015118 ▼b K49s
100 1 ▼a Kim, Chang-Jin , ▼d 1960-.
245 1 0 ▼a State-space models with regime switching : ▼b classical and Gibbs-sampling approaches with applications / ▼c Chang-Jin Kim and Charles R. Nelson.
260 ▼a Cambridge, Mass. : ▼b MIT Press , ▼c c1999.
300 ▼a xii, 297 p. : ▼b ill. ; ▼c 24 cm.
504 ▼a Includes bibliographical references and index.
650 0 ▼a Economics ▼x Mathematical models.
650 0 ▼a State-space methods.
650 0 ▼a Heteroscedasticity.
650 0 ▼a Sampling (Statistics)
650 0 ▼a Econometrics.
700 1 ▼a Nelson, Charles R.

No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 중앙도서관/서고6층/ 청구기호 330.015118 K49s 등록번호 111213780 도서상태 대출중 반납예정일 2022-11-03 예약 서비스 M
No. 2 소장처 중앙도서관/서고6층/ 청구기호 330.015118 K49s 등록번호 111531922 도서상태 대출가능 반납예정일 예약 서비스 B M
No. 3 소장처 과학도서관/Sci-Info(2층서고)/ 청구기호 330.015118 K49s 등록번호 121196861 도서상태 대출가능 반납예정일 예약 서비스 B M
No. 4 소장처 세종학술정보원/사회과학실/ 청구기호 330.015118 K49s 등록번호 151281165 도서상태 대출가능 반납예정일 예약 서비스 M
No. 5 소장처 세종학술정보원/학과비치/ 청구기호 330.015118 K49s 등록번호 151176939 도서상태 대출중 반납예정일 2007-12-30 예약 서비스 M
No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 중앙도서관/서고6층/ 청구기호 330.015118 K49s 등록번호 111213780 도서상태 대출중 반납예정일 2022-11-03 예약 서비스 M
No. 2 소장처 중앙도서관/서고6층/ 청구기호 330.015118 K49s 등록번호 111531922 도서상태 대출가능 반납예정일 예약 서비스 B M
No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 과학도서관/Sci-Info(2층서고)/ 청구기호 330.015118 K49s 등록번호 121196861 도서상태 대출가능 반납예정일 예약 서비스 B M
No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 세종학술정보원/사회과학실/ 청구기호 330.015118 K49s 등록번호 151281165 도서상태 대출가능 반납예정일 예약 서비스 M
No. 2 소장처 세종학술정보원/학과비치/ 청구기호 330.015118 K49s 등록번호 151176939 도서상태 대출중 반납예정일 2007-12-30 예약 서비스 M

컨텐츠정보

목차


CONTENTS

Preface and Acknowledgments = xi

1 Introduction = 1

 1.1 State-Space Models and Markov Switching in Econometrics : A Brief History = 2

 1.2 Computer Programs and Data = 4

  References = 4

Ⅰ THE CLASSICAL APPROACH

 2 The Maximum Likelihood Estimation Method : Practical Issues = 9

  2.1 Maximum Likelihood Estimation and the Covariance Matrix of$$\hat \theta _{ML}$$ = 9

  2.2 The Prediction Error Decomposition and the Likelihood Function = 11

  2.3 Parameter Constraints and the Covariance Matrix of$$\hat \theta _{ML}$$ = 13

   References = 17

 3 State-Space Models and the Kalman Filter = 19

  3.1 Time-Varying-Parameter Models and the Kalman Filter = 19

  3.2 State-Space Models and the Kalman Filter = 29

  3.3 Application 1 : A Decomposition of Real GDP and the Unemployment Rate into Stochastic Trend and Transitory Components = 37

  3.4 Application 2 : A Application of the Time-Varying-Parameter Model to Modeling Changing Conditional Variance = 44

  3.5 Application 3 : Stock and Watson's Dynamic Factor Model of the Coincident Economic Indicators = 48

   Appendix : GAUSS Programs to Accompany Chapter 3 = 55

   References = 56

 4 Markov-Switching Models = 59

  4.1 Introduction : Serially Uncorrelated Data and Switching = 59

  4.2 Serially Correlated Data and Markov Switching = 64

  4.3 Issues Related to Markov-Switching Models = 68

  4.4 Application 1 : Hamilton's Markov-Switching Model of Business Fluctuations = 78

  4.5 Application 2 : A Unit Root in a Three-State Markov-Switching Model of the Real Interest Rate = 82

  4.6 Application 3 : A Three-State Markov-Switching Variance Model of Stock Returns = 86

   Appendix : GAUSS Programs to Accompany Chapter 4 = 93

   References = 93

 5 State-Space Models with Markov Switching = 97

  5.1 Specification of the Model = 98

  5.2 The Basic Filter and Estimation of the Model = 99

  5.3 Smoothing = 106

  5.4 An Evaluation of the Kim Filter and Approximate MLE = 109

  5.5 Application 1 : Sources of Monetary Growth Uncertainty and Economic Activity = 115

  5.6 Application 2 : Friedman's Plucking Model of Business Fluctuations and Implied Business Cycle Asymmetry = 124

  5.7 Application 3 : A Dynamic Factor Model with Markov Switching : Business Cycle Turning Points and a New Coincident Index = 126

   Appendix : GAUSS Program to Accompany Chapter 5 = 133

   References = 135

 6 State-Space Models with Heteroskedastic Disturbances = 139

  6.1 State-Space Models with ARCH Disturbances = 140

  6.2 State-Space Models with Markov-Switching Heteroskedasticity = 146

  6.3 Application 1 : The Link between the Inflation Rate and Inflation Uncertainty = 151

  6.4 Application 2 : Transient Fads and the Crash of '87 in the U.S. Stock Market = 157

   Appendix : GAUSS Programs to Accompany Chapter 6 = 166

   References = 167

Ⅱ THE GIBBS-SAMPLING APPROACH = 169

 7 An Introductin to Bayesian Inference and Gibbs-Sampling = 171

  7.1 Classical versus Bayesian Analysis : Fundamental Differences = 171

  7.2 Bayesian Analysis : An Introduction = 173

  7.3 Gibbs-Sampling : Motivation and Basic Idea = 178

  7.4 Examples of Gibbs-Sampling in Econometrics = 180

   Appendix : GAUSS Programs to Accompany Chapter 7 = 188

   References = 188

 8 State-Space Models and Gibbs-Sampling = 189

  8.1 Generating the State Vector When Q Is Positive-Definite = 190

  8.2 Generating the State Vector When Q Is Singular : A Generalization = 194

  8.3 Application 1 : A Gibbs-Sampling Approach to a Linear Dynamic Factor Model and a New Coincident Index = 196

   Appendix : GAUSS Program to Accompany Chapter 8 = 205

   References = 208

 9 Markov-Switching Models and Gibbs-Sampling = 209

  9.1 A Basic Model and the Bayesian Gibbs-Sampling Approach = 209

  9.2 Application 1 : A Three-State Markov-Switching Variance Model of Stock Returns = 219

  9.3 Application 2 : A Three-State Markov Switching Mean-Variance Model of the Real Interest Rate = 229

   Appendix : GAUSS Programs to Accompany Chapter 9 = 236

   References = 236

 10 State-Space Models with Markov Switching and Gibbs-Sampling = 237

  10.1 General Framework = 237

  10.2 Application 1 : Business Cycle Turning Points and a New Coincident Index = 241

  10.3 Application 2 : Business Cycle Duration Dependence within a Dynamic Factor Model : An Advantage of the Gibbs-Sampling Approach over the Classical Approach = 257

  10.4 Application 3 : An Unobserved Components Model of the Long-Run U.S./U.K. Real Exchange Rate with Heteroskedasticity = 266

   Appendix : GAUSS Program to Accompany Chapter 10 = 271

   References = 272

 11 Gibbs-Sampling and Parameter Uncertainty : Testing for Mean Reversion in Heteroskedastic Data = 275

  11.1 Alternative Ways of Incorporating Parameter Uncertainty = 275

  11.2 Variance Ratio Tests of Mean Reversion : A Review = 278

  11.3 Historical Pattern of Heteroskedasticity and the Sampling Distribution of the Variance Ratio Statistic = 279

  11.4 New Tests of Mean Reversion in the Presence of Heteroskedasticity = 284

   Appendix : GAUSS Programs to Accompany Chapter 11 = 292

   References = 293

Index = 293



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