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Has the US economy become more stable? : A Bayesian approach based on a Markov-switching model of the business cycle

Kim, Chang-jin; Nelson, Charles R. - In: The review of economics and statistics 81 (1999) 4, pp. 608-616

Persistent link: https://www.econbiz.de/10001437350

State-space models with regime switching : classical and Gibbs-sampling approaches with applications

Kim, Chang-jin; Nelson, Charles R. - 1999

Persistent link: https://www.econbiz.de/10000672140

Business cycle turning points, a new coincident index, and tests of duration dependence based on a dynamic factor model with regime switching

Kim, Chang-jin - In: The review of economics and statistics 80 (1998) 2, pp. 188-201

Persistent link: https://www.econbiz.de/10001240858

The time-varying-parameter model for modeling changing conditional variance : the case of the Lucas hypothesis

Kim, Chang-jin - In: Journal of business & economic statistics : JBES ; a … 7 (1989) 4, pp. 433-440

Persistent link: https://www.econbiz.de/10001074853

A Bayesian approach to testing for Markov-switching in univariate and dynamic factor models

Kim, Chang-jin; Nelson, Charles R. - In: International economic review 42 (2001) 4, pp. 989-1013

Persistent link: https://www.econbiz.de/10001624477

Estimation of a forward-looking monetary policy rule : a time-varying parameter model using ex post data

Kim, Chang-jin; Nelson, Charles R. - In: Journal of monetary economics 53 (2006) 8, pp. 1949-1966

Persistent link: https://www.econbiz.de/10003394388

A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models

Kim, Chang-jin; Nelson, Charles R. - 1999

Though Hamilton's (1989) Markov switching model has been widely estimated in various contexts, formal testing for Markov switching is not straightforward. Univariate tests in the classical framework by Hansen (1992) and Garcia (1998) do not reject the linear model for GDP. We present Bayesian...

Persistent link: https://www.econbiz.de/10014203418

Unobserved-component time series models with Markov-switching heteroscedasticity : changes in regime and the link between inflation rates and inflation uncertainty

Kim, Chang-jin - In: Journal of business & economic statistics : JBES ; a … 11 (1993) 3, pp. 341-349

Persistent link: https://www.econbiz.de/10001146826

Bayes inference via Gibbs sampling of dynamic linear models with Markov-switching

Kim, Chang-jin - In: Journal of economic theory and econometrics : journal … 3 (1997) 2, pp. 123-149

Persistent link: https://www.econbiz.de/10001560752

Predicting business cycle phases with indexes of leading and coincident economic indicators : a multivariate "regime-shift" approach

Kim, Chang-jin - In: Journal of economic theory and econometrics : journal … 2 (1996) 2, pp. 1-27

Persistent link: https://www.econbiz.de/10001561190