Název:
Dynamics of consumption and dividends over the business cycle
Autoři:
Pidkuyko, Myroslav Typ dokumentu: Výzkumné zprávy
Rok:
2014
Jazyk:
eng
Edice: CERGE-EI Working Paper Series, svazek: 522
Abstrakt: We examine a trivariate time series model that is subject to a regime switch, where the shifts are governed by an unobserved, two-state variable that follows a Markov process. The analysis is performed in a Bayesian framework developed by Albert and Chib (1993), where the unobserved states are treated as missing data and then analyzed via Gibbs sampling. This approach generates the posterior conditional distribution of all the parameters given the hidden states, and the posterior conditional distribution of the states given the parameters. This allows us to obtain the estimated values of all the parameters of interest.
Klíčová slova:
asset pricing; consumer durable goods; learning Číslo projektu: GAUK 578214, GAP403/12/1394 (CEP)
Práva: Dílo je chráněno podle autorského zákona č. 121/2000 Sb.
- od r. 2006 součást Biologického centra
(web)
Původní záznam: http://hdl.handle.net/11104/0241744