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Original title:
Dynamics of consumption and dividends over the business cycle
Authors: Pidkuyko, Myroslav
Document type: Research reports
Year: 2014
Language: eng
Series: CERGE-EI Working Paper Series, volume: 522
Abstract: 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.
Keywords: asset pricing; consumer durable goods; learning
Project no.: GAUK 578214, GAP403/12/1394 (CEP)
Rights: This work is protected under the Copyright Act No. 121/2000 Coll.
- od r. 2006 součást Biologického centra (web)
Original record: http://hdl.handle.net/11104/0241744
Permalink: http://www.nusl.cz/ntk/nusl-178346
The record appears in these collections:
Reports > Research reports
Authors: Pidkuyko, Myroslav
Document type: Research reports
Year: 2014
Language: eng
Series: CERGE-EI Working Paper Series, volume: 522
Abstract: 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.
Keywords: asset pricing; consumer durable goods; learning
Project no.: GAUK 578214, GAP403/12/1394 (CEP)
Rights: This work is protected under the Copyright Act No. 121/2000 Coll.
- od r. 2006 součást Biologického centra (web)
Original record: http://hdl.handle.net/11104/0241744
Permalink: http://www.nusl.cz/ntk/nusl-178346
The record appears in these collections:
Reports > Research reports
Record created 2015-01-05, last modified 2023-12-11
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