Title
StateSpace Models with Regime Switching: Classical and GibbsSampling Approaches with Applications (Mit Press),New
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Both statespace models and Markov switching models have been highly productive paths for empirical research in macroeconomics and finance. This book presents recent advances in econometric methods that make feasible the estimation of models that have both features. One approach, in the classical framework, approximates the likelihood function; the other, in the Bayesian framework, uses Gibbssampling to simulate posterior distributions from data.The authors present numerous applications of these approaches in detail: decomposition of time series into trend and cycle, a new index of coincident economic indicators, approaches to modeling monetary policy uncertainty, Friedman's 'plucking' model of recessions, the detection of turning points in the business cycle and the question of whether booms and recessions are durationdependent, statespace models with heteroskedastic disturbances, fads and crashes in financial markets, longrun real exchange rates, and mean reversion in asset returns.
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