书名：state-space models with regime switching:Classical and Gibbs-Sampling Approaches with Applications

作者：Chang-Jin Kim, Charles R. Nelson

格式：pdf分卷压缩

来源：自己复印扫描

大小：39m

页数：310

contents
 

1.Introduction

I The classical approach

2. The maximum likelihood estimation method :pratical issue

3.State-space models and the Kalman Filter

4.Markov-switching models

5.State-space models with markov switching

6.Stata-space models with heteroskedastic disturbances

II The gibbs-sampling approach

7. An inroduction to Bayesian inference and gibbs-sampling

8.State-space models and gibbs-sampling

9.Markov-switching models and gibbs-sammpling

10.State-space models with markov switching and gibbs-sampling

11.Gibbs-sampling and parameter Uncertainty:testing for mean reversion in Heteroskedastic data