Bayesian inference in regime-switching ARMA models with aborbing states : the dynamics of the ex-antre real interest rate under regime shifts
Chang-Jin Kim; Jaeho Kim
| 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 | ARMA-Modell | ARMA model | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis | Bayes-Statistik | Bayesian inference |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011403240