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  • - Classical and Gibbs-Sampling Approaches with Applications
    af Chang-Jin Kim & Charles R. Nelson
    858,95 kr.

    Both state-space models and Markov switching models have been highly productive paths for empirical research in macroeconomics and finance. This book presents advances in econometric methods that make feasible the estimation of models that have both features.

  • af Chang-Jin Kim
    893,95 kr.

    Presents a unified econometric framework for dealing with the issues of endogeneity in Markov-switching models and time-varying parameter models. This book focuses on the LIML (limited information maximum likelihood) estimation of a single equation of interest out of a simultaneous equations model.