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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

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

The time-varying-parameter model as an alternative to ARCH for modeling changing conditional variance : the case of Lucas hypothesis

Nelson, Charles R. - 1988

Persistent link: https://www.econbiz.de/10013452064

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