Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
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Publication:1113255
DOI10.1016/0165-1889(88)90047-4zbMath0661.62117OpenAlexW1511098757MaRDI QIDQ1113255
Publication date: 1988
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0165-1889(88)90047-4
rational expectations modelsAR(m)-processARCH-modelchanges in regimediscrete-valued two-state, first order Markov processlinear estimation proceduresmaximum likelihood parameter estimatesnonlinear-filterterm structure of U.S. interest rates
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
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