Bayesian inference in regime-switching ARMA models with aborbing states : the dynamics of the ex-antre real interest rate under regime shifts
Year of publication: |
2015
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Authors: | Kim, Chang-jin ; Kim, Jaeho |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 33.2015, 4, p. 566-578
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Subject: | Global Metropolis-Hastings algorithm | Proposal distribution | Realzins | Real interest rate | Theorie | Theory | Markov-Kette | Markov chain | ARMA-Modell | ARMA model | Bayes-Statistik | Bayesian inference | Zeitreihenanalyse | Time series analysis |
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