Dynamics of consumption and dividends over the business cycle

0438321 - NHU-C 2015 RIV CZ eng V - Research Report
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
R&D Projects: GA ČR GAP403/12/1394; GA MŠMT(CZ) SVV260126
Grant - others:UK(CZ) GAUK 578214
Institutional support: PRVOUK-P23
Keywords : asset pricing * consumer durable goods * learning
Subject RIV: AH - Economics
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.
Permanent Link: http://hdl.handle.net/11104/0241744