Macroeconomic Regimes and Regime Shifts宏观经济体制与制度变迁

《Macroeconomic Regimes and Regime Shifts宏观经济体制与制度变迁》由会员上传分享，免费在线阅读，更多相关内容在教育资源-天天文库。

1、MacroeconomicRegimesandRegimeShiftsAugust20,2014revised:December31,2015JamesD.HamiltonDepartmentofEconomics,0508UniversityofCalifornia,SanDiegoLaJolla,CA92093-0508jhamilton@ucsd.eduPreparedfor:HandbookofMacroeconomics,Vol.2.IthankMarineCarrasco,SteveDavis,LiangHu,Ò

2、scarJordà,DouglasSteigerwald,JohnTaylor,AllanTimmermann,andHaraldUhligforhelpfulcommentsonearlierdrafts.CONTENTS1.Introduction:Economicrecessionsaschangesinregime............................12.Econometrictreatmentofchangesinregime...................................

3、..72.1.Multivariateornon-Gaussianprocesses.....................................82.2.Multipleregimes.........................................................92.3.Processesthatdependoncurrentandpastregimes...........................102.4.Inferenceaboutregimesandevalu

4、atingthelikelihoodforthegeneralcase.......112.5.EMalgorithm...........................................................132.6.EMalgorithmforrestrictedmodels........................................152.7.Structuralvectorautoregressionsandimpulse-responsefunctions......

5、.........172.8.BayesianinferenceandtheGibbssampler...................................19Priordistributions.......................................................20Likelihoodfunctionandconditionalposteriordistributions.....................21Gibbssampler..............

6、.............................................242.9.Time-varyingtransitionprobabilities........................................262.10.Latent-variablemodelswithchangesinregime..............................272.11.Selectingthenumberofregimes............................

7、..............282.12.Deterministicbreaks....................................................312.13.Chib’smultiplechange-pointmodel.......................................322.14.Smoothtransitionmodels................................................333.Economictheorya

8、ndchangesinregime.........................................343.1.Closed-formsolutionofDSGE’sandasset-pricingimplications...................343.2.A