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Dynamics of consumption and dividends over the business cycle
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SYSNO ASEP 0438321 Document Type V - Research Report R&D Document Type V - Research Report Title Dynamics of consumption and dividends over the business cycle Author(s) Pidkuyko, Myroslav (NHU-C) Issue data Prague: CERGE-EI, 2014 ISSN 1211-3298 Series CERGE-EI Working Paper Series Series number 522 Number of pages 36 s. Publication form Print - P Language eng - English Country CZ - Czech Republic Keywords asset pricing ; consumer durable goods ; learning Subject RIV AH - Economics R&D Projects GAP403/12/1394 GA ČR - Czech Science Foundation (CSF) SVV260126 GA MŠMT - Ministry of Education, Youth and Sports (MEYS) Institutional support NHU-C - PRVOUK-P23 Annotation 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. Workplace Economics Institute - CERGE Contact Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Year of Publishing 2015 Electronic address http://www.cerge-ei.cz/pdf/wp/Wp522.pdf
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