Methods for measuring expectations and uncertainty in Markov-switching models
DOI10.1016/J.JECONOM.2015.08.004zbMATH Open1419.62502OpenAlexW3122937772MaRDI QIDQ894639FDOQ894639
Authors: Francesco Bianchi 
Publication date: 2 December 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.08.004
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Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64) Economic time series analysis (91B84) Dynamic stochastic general equilibrium theory (91B51)
Cites Work
- Time Varying Structural Vector Autoregressions and Monetary Policy
- Large Sample Properties of Generalized Method of Moments Estimators
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Calculating posterior distributions and modal estimates in Markov mixture models
- Estimation and comparison of multiple change-point models
- Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
- An Intertemporal Capital Asset Pricing Model
- Title not available (Why is that?)
- Impulse response analysis in nonlinear multivariate models
- Forecasting Time Series Subject to Multiple Structural Breaks
- Sources of macroeconomic fluctuations: a regime-switching DSGE approach
- The Impact of Uncertainty Shocks
- Moments of Markov switching models
- Fitting observed inflation expectations
- Understanding Markov-switching rational expectations models
- Modeling the evolution of expectations and uncertainty in general equilibrium
- Perturbation methods for Markov-switching dynamic stochastic general equilibrium models
- Uncertainty shocks, asset supply and pricing over the business cycle
Cited In (9)
- Uncertainty-dependent effects of monetary policy shocks: a new-Keynesian interpretation
- Spectral representation and autocovariance structure of Markov switching DSGE models
- The origins and effects of macroeconomic uncertainty
- Determinacy and classification of Markov-switching rational expectations models
- MCMC for Markov-switching models -- Gibbs sampling vs. marginalized likelihood
- Quantifying and Managing Uncertainty in Piecewise-Deterministic Markov Processes
- News-Driven Uncertainty Fluctuations
- Modeling the evolution of expectations and uncertainty in general equilibrium
- Moments, shocks and spillovers in Markov-switching VAR models
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