Počet záznamů: 1  

Dynamics of consumption and dividends over the business cycle

  1. 1.
    0438321 - NHU-C 2015 RIV CZ eng V - Výzkumná zpráva
    Pidkuyko, Myroslav
    Dynamics of consumption and dividends over the business cycle.
    Prague: CERGE-EI, 2014. 36 s. CERGE-EI Working Paper Series, 522. ISSN 1211-3298
    Grant CEP: GA ČR GAP403/12/1394; GA MŠk(CZ) SVV260126
    Grant ostatní:UK(CZ) GAUK 578214
    Institucionální podpora: PRVOUK-P23
    Klíčová slova: asset pricing * consumer durable goods * learning
    Kód oboru RIV: AH - Ekonomie
    http://www.cerge-ei.cz/pdf/wp/Wp522.pdf

    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.
    Trvalý link: http://hdl.handle.net/11104/0241744
    Název souboruStaženoVelikostKomentářVerzePřístup
    Wp522.pdf0593.6 KBVydavatelský postprintpovolen