State-space models with regime switching
Subtitle: classical and Gibbs-sampling approaches with applications
By: Chang-Jin Kim and Charles R. Nelson.
Contributors: Nelson, Charles R.
Publisher: MIT Press
Published: 1999
Place of publication: Cambridge, Mass
Language: eng
Number of pages: 297
Subjects: Economics -- Mathematical models.; State-space methods.; Heteroscedasticity.; Sampling (Statistics); Econometrics.
Notes: Includes bibliographical references and index.