State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications

by Charles Nelson (Author), Chang -kim Kim (Author)

• New

  Hardcover
  1999

  $52.61

  Both state-space models and Markov switching models have been highly productive paths for empirical research in macroeconomics and finance. This book presents advances in econometric methods that make feasible the estimation of models that have both features.