Methods for measuring expectations and uncertainty in Markov-switching models
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DOI: 10.1016/j.jeconom.2015.08.004
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- Bianchi, Francesco, 2013. "Methods for Measuring Expectations and Uncertainty in Markov-Switching Models," CEPR Discussion Papers 9705, C.E.P.R. Discussion Papers.
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- repec:fip:fedkrw:15-06 is not listed on IDEAS
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More about this item
Keywords
Markov-switching VAR; DSGE; Moments; Expectations; Uncertainty; Impulse responses;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Statistics
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