Title
Bayesian Analysis of a Structural Model with Switching Regime: The Exponential Smoothing Method with Switching Regime,Used
Delivery time: 8-12 business days (International)
A new class of models based on the innovations form of structural models underlying exponential smoothing methods and a latent Markov switching process is proposed. Firstly, the local level model with a switching drift is introduced where the drift is represented by a variable that evolves according to a Markov chain and describes the change between high and low growth rate periods. One drift coefficient represents the expected rate of growth during an expansion and the other drift coefficient represents the expected rate during a recession. The transition probabilities of the Markov chain are constant. Then, the model is extended to a drift that is dependent on a leading economic indicator which leads to varying transition probabilities. A new Bayesian procedure, using a mixture of forward and backward filtering iterations, is developed to produce exact Bayesian posterior parameter and forecast distributions. The two models are applied to quarterly real US GNP data, considered as the main (coincident) indicator of economic health, to infer and forecast the US business cycle.
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We ship your order within 2–3 business days for USA deliveries and 5–8 business days for international shipments. Once your package has been dispatched from our warehouse, you'll receive an email confirmation with a tracking number, allowing you to track the status of your delivery.
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We provide a 2-year limited warranty, from the date of purchase for all our products.
If you believe you have received a defective product, or are experiencing any problems with your product, please contact us.
This warranty strictly does not cover damages that arose from negligence, misuse, wear and tear, or not in accordance with product instructions (dropping the product, etc.).
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Your payment information is processed securely. We do not store credit card details nor have access to your credit card information.
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