Report time: On March 23, 2016 (Wednesday) 15:00－17:00

Report place: The third conference room in Jingshi Academic Hall

Reporter: Gang Shi；

Abstract： In recent decades, there are lots of studies of Markov regime-switching model (this model is also called hidden Markov model (HMM) in statistics.) applied to economic field. This paper firstly gives three assumptions of HMM applied to economic field . Based on the study of Kim, Piger and Startz (2008), this paper then constructs an endogenous multivariable HMM. By using EM algorithm and MCMC algorithm, the parameters ofthis model are estimated.