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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
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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
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Markov-switching models with endogenous explanatory variables
Kim, Chang-jin - In: Journal of econometrics 122 (2004) 1, pp. 127-136
Persistent link: https://www.econbiz.de/10002136509
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Markov-switching models with endogenous explanatory variables II : a two-step MLE procedure
Kim, Chang-jin - In: Journal of econometrics 148 (2009) 1, pp. 46-55
Persistent link: https://www.econbiz.de/10003813118
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Dealing with endogeneity in regression models with dynamic coefficients
Kim, Chang-jin (contributor) - 2010
Persistent link: https://www.econbiz.de/10008656405
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Markov-switching and the Beveridge-Nelson decomposition : has US output persistence changed since 1984?
Kim, Chang-jin - In: Journal of econometrics 146 (2008) 2, pp. 227-240
Persistent link: https://www.econbiz.de/10003782913
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Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization
Kim, Chang-Jin; Nelson, Charles R.; Startz, Richard - In: Journal of empirical finance 5 (1998) 2, pp. 131-154
Persistent link: https://www.econbiz.de/10001374883
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Bayesian inference in regime-switching ARMA models with aborbing states : the dynamics of the ex-antre real interest rate under regime shifts
Kim, Chang-jin; Kim, Jaeho - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 4, pp. 566-578
Persistent link: https://www.econbiz.de/10011403240
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Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?
Kim, Chang-jin; Morley, James C.; Nelson, Charles R. - In: Journal of empirical finance 8 (2001) 4, pp. 403-426
Persistent link: https://www.econbiz.de/10001607064
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Common stochastic trends, common cycles, and asymmetry in economic fluctuations
Kim, Chang-jin; Piger, Jeremy Max - In: Journal of monetary economics 49 (2002) 6, pp. 1189-1211
Persistent link: https://www.econbiz.de/10001700851