Regime Switching Background Talk - Transparencies

Regime Switching Background Talk - Transparencies - Regime...

Info iconThis preview shows pages 1–5. Sign up to view the full content.

View Full Document Right Arrow Icon

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: Regime Switching joint work with Drew Carter and Ben Hansen Douglas G. Steigerwald UC Santa Barbara November 2010 D. Steigerwald (UCSB) Regime Switching November 2010 1 / 15 Roadmap 1 Empirical Use 1 Cyclical Data: GNP, Consumption, Dividends 2 Collusion: switch between collusion, punishment 2 How to specify models 1 what parameters vary over regimes 3 How to estimate models 1 MLE not OLS 4 How to test for regimes 1 Is there collusion? D. Steigerwald (UCSB) Regime Switching November 2010 2 / 15 Empirical Use data with cycles alternate between expansion and contraction asymmetry and kurtosis US: GNP, Consumption, Dividends (Cecchetti: 1870 - ) Annual Growth Rates, Real, Per Capita Consumption Dividends GNP Mean . 02 . 02 SD . 04 . 14 . 05 Skewness & . 41 & . 60 & . 75 Kurtosis 3 . 90 5 . 80 7 . 66 D. Steigerwald (UCSB) Regime Switching November 2010 3 / 15 Model Speci&cation Cecchetti, Lam and Mark 1990 y t- growth rate (consumption, dividends, GNP) y t = + 1 s t + u t u t & i . i...
View Full Document

Page1 / 15

Regime Switching Background Talk - Transparencies - Regime...

This preview shows document pages 1 - 5. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online