Estimating (Markov-switching) VAR Models Without Gibbs Sampling
Title | Estimating (Markov-switching) VAR Models Without Gibbs Sampling PDF eBook |
Author | Mark Bognanni |
Publisher | |
Pages | |
Release | 2014 |
Genre | |
ISBN |
Markov-Switching Vector Autoregressions
Title | Markov-Switching Vector Autoregressions PDF eBook |
Author | Hans-Martin Krolzig |
Publisher | Springer Science & Business Media |
Pages | 369 |
Release | 2013-06-29 |
Genre | Business & Economics |
ISBN | 364251684X |
This book contributes to re cent developments on the statistical analysis of multiple time series in the presence of regime shifts. Markov-switching models have become popular for modelling non-linearities and regime shifts, mainly, in univariate eco nomic time series. This study is intended to provide a systematic and operational ap proach to the econometric modelling of dynamic systems subject to shifts in regime, based on the Markov-switching vector autoregressive model. The study presents a comprehensive analysis of the theoretical properties of Markov-switching vector autoregressive processes and the related statistical methods. The statistical concepts are illustrated with applications to empirical business cyde research. This monograph is a revised version of my dissertation which has been accepted by the Economics Department of the Humboldt-University of Berlin in 1996. It con sists mainly of unpublished material which has been presented during the last years at conferences and in seminars. The major parts of this study were written while I was supported by the Deutsche Forschungsgemeinschajt (DFG), Berliner Graduier tenkolleg Angewandte Mikroökonomik and Sondeiforschungsbereich 373 at the Free University and Humboldt-University of Berlin. Work was finally completed in the project The Econometrics of Macroeconomic Forecasting founded by the Economic and Social Research Council (ESRC) at the Institute of Economies and Statistics, University of Oxford. It is a pleasure to record my thanks to these institutions for their support of my research embodied in this study.
State-space Models with Regime Switching
Title | State-space Models with Regime Switching PDF eBook |
Author | Chang-Jin Kim |
Publisher | Mit Press |
Pages | 297 |
Release | 1999 |
Genre | Business & Economics |
ISBN | 9780262112383 |
Both state-space 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 Gibbs-sampling 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 duration-dependent, state-space models with heteroskedastic disturbances, fads and crashes in financial markets, long-run real exchange rates, and mean reversion in asset returns.
Complex Systems in Finance and Econometrics
Title | Complex Systems in Finance and Econometrics PDF eBook |
Author | Robert A. Meyers |
Publisher | Springer Science & Business Media |
Pages | 919 |
Release | 2010-11-03 |
Genre | Business & Economics |
ISBN | 1441977007 |
Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
Introducing Monte Carlo Methods with R
Title | Introducing Monte Carlo Methods with R PDF eBook |
Author | Christian Robert |
Publisher | Springer Science & Business Media |
Pages | 297 |
Release | 2010 |
Genre | Computers |
ISBN | 1441915753 |
This book covers the main tools used in statistical simulation from a programmer’s point of view, explaining the R implementation of each simulation technique and providing the output for better understanding and comparison.
Monetary Policy Transmission and Financial Stability in a LIC
Title | Monetary Policy Transmission and Financial Stability in a LIC PDF eBook |
Author | Mr.Sohrab Rafiq |
Publisher | International Monetary Fund |
Pages | 28 |
Release | 2015-11-09 |
Genre | Business & Economics |
ISBN | 1513549138 |
This paper explores how monetary policy affects the real economy and its efficacy in promoting financial stability in a large low income country. This paper shows that monetary policy modestly impacts real economic activity and inflation via the bank lending and financial accelerator channels. Second, money market and treasury rates signal changes in the policy stance, while altering banks’ intermediation cost curves due to shifting risk premia. At the same time, evidence points to monetary policy inducing an overshooting in asset prices. These findings suggest that financial stability could be undermined if the calibration of monetary policy is based solely on output and inflation without accounting for the stage of the financial cycle. Finally, the paper discusses policy measures that would enhance the transmission of monetary policy and promote financial stability in Bangladesh.
Advances in Intelligent Signal Processing and Data Mining
Title | Advances in Intelligent Signal Processing and Data Mining PDF eBook |
Author | Petia Georgieva |
Publisher | Springer |
Pages | 359 |
Release | 2012-07-27 |
Genre | Technology & Engineering |
ISBN | 3642286968 |
The book presents some of the most efficient statistical and deterministic methods for information processing and applications in order to extract targeted information and find hidden patterns. The techniques presented range from Bayesian approaches and their variations such as sequential Monte Carlo methods, Markov Chain Monte Carlo filters, Rao Blackwellization, to the biologically inspired paradigm of Neural Networks and decomposition techniques such as Empirical Mode Decomposition, Independent Component Analysis and Singular Spectrum Analysis. The book is directed to the research students, professors, researchers and practitioners interested in exploring the advanced techniques in intelligent signal processing and data mining paradigms.