Bayesian Inference in Regime-Switching ARMA Models with Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Structural Breaks
Year of publication: |
2013
|
---|---|
Authors: | Kim, Chang-Jin ; Kim, Jaeho |
Institutions: | Institute of Economic Research, Korea University |
Subject: | ARMA model with Regime Switching | Multi-move Sampler | Single-Move Sampler | Metropolis-Hastings Algorithm | Absorbing State | Ex-Ante Real Interest Rate |
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