{"product_id":"bayesian-analysis-of-a-structural-model-with-switching-regime-von-roland-shami","title":"Bayesian Analysis of a Structural Model with Switching Regime","description":"\u003cp\u003eA new class of models based on the innovations form  of structural models underlying exponential  smoothing methods and a latent Markov switching  process is proposed. Firstly, the local level model  with a switching drift is introduced where the drift  is represented by a variable that evolves according  to a Markov chain and describes the change between  high and low growth rate periods. One drift  coefficient represents the expected rate of growth  during an expansion and the other drift coefficient  represents the expected rate during a recession. The  transition probabilities of the Markov chain are  constant. Then, the model is extended to a drift  that is dependent on a leading economic indicator  which leads to varying transition probabilities. A  new Bayesian procedure, using a mixture of forward  and backward filtering iterations, is developed to  produce exact Bayesian posterior parameter and  forecast distributions. The two models are applied  to quarterly real US GNP data, considered as the  main (coincident) indicator of economic health, to  infer and forecast the US business cycle.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783838363721\"\u003e\u003ch3\u003eThe Exponential Smoothing Method with Switching Regime\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9783838363721","offer_id":39499040358493,"sku":"9783838363721","price":79.0,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/d35d320e-5674-4784-9f40-5e1fdd86c2fb.jpg?v=1758874617","url":"https:\/\/shop.autorenwelt.de\/en\/products\/bayesian-analysis-of-a-structural-model-with-switching-regime-von-roland-shami","provider":"Autorenwelt Shop","version":"1.0","type":"link"}