Chapter

Applications to Switching Regime Models

Christian Gouriéroux and Alain Monfort

in Simulation-based Econometric Methods

Published in print January 1997 | ISBN: 9780198774754
Published online November 2003 | e-ISBN: 9780191596339 | DOI: http://dx.doi.org/10.1093/0198774753.003.0007

Series: OUP/CORE Lecture Series

 Applications to Switching Regime Models

More Like This

Show all results sharing this subject:

  • Econometrics and Mathematical Economics

GO

Show Summary Details

Preview

Considers applications to Endogenously Switching Regime Models, mainly dynamic Disequilibrium Models, and to Exogenously Switching Regime Models, mainly Hidden Markov Chain Models. The methods used are simulated PML and ML methods, and Sequentially Optimal Sampling is introduced.

Keywords: Disequilibrium; Hidden Markov Chain; Sequentially Optimal Sampling; Switching Regimes

Chapter.  7103 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

Full text: subscription required

How to subscribe Recommend to my Librarian

Buy this work at Oxford University Press »

Users without a subscription are not able to see the full content. Please, subscribe or login to access all content.