Methods for inference in large multiple-equation Markov-switching models
Year of publication: |
2006
|
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Authors: | Sims, Christopher A. ; Waggoner, Daniel F. ; Zha, Tao |
Publisher: |
Atlanta, GA : Federal Reserve Bank of Atlanta |
Subject: | Markovscher Prozess | Zeitreihenanalyse | Maximum-Likelihood-Methode | volatility | coefficient changes | discontinuous shifts | Lucas critique | independent Markov processes |
Series: | Working Paper ; 2006-22 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 572293046 [GVK] hdl:10419/70758 [Handle] |
Classification: | C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; E52 - Monetary Policy (Targets, Instruments, and Effects) |
Source: |
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Methods for inference in large multiple-equation Markov-switching models
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