State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications
Author: Chang-Jin Kim, Charles R. Nelson
List Price: $50.00
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ISBN: 0262112388
Publisher: MIT Press (07 May, 1999)
Sales Rank: 123,284
Average Customer Rating: 3.33 out of 5
Customer Reviews
Rating: 4 out of 5
State-Space Models with Regime-Switching:Classical and Gibbs
This is basically the only book around on this subject, and they do have useful informations as well. I think explanation is concise enough to clearly understand. I found this book to be useful because of those. The only thing is some typos (which I think is inevitable for this kind of book) and program software on the web which is not very clearly written.
Rating: 1 out of 5
A waste of time.
This book is poorly written. It has numerous typos. The authors never even bothered to explain some of the math notations they used. Apparently, I believe some the examples were copied from other books without a clear explanation of the notations. You'll end up scratching your head on the notations and typos. I wasted a lot of time reading this book. They never mentioned some of shorting comings of using Gibbs Sampling, and ignore some of alternative methods that are far superior in many other respects.
Rating: 5 out of 5
excellent book on regime switching
This is really great book for understanding regime switching and state-space models.As far as I know this is the first book that includes both topics together.It is easy to understand and supporting applications at the end of the each chapter make things easier for the reader.Furthermore, it also tells about bayesian econometrics and gibbs-sampling approach.In short,it is a must buy book for a economics graduate student who is interested in nonlinear time series econometrics Similar Products
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