报告时间： 2016年3月23日（周三）15:00--17:00

报告地点：京师学堂第三会议室

报告人: 石刚

报告题目：An endogenous multivariable Markov regime-switching model and its estimation of parameters

报告简介: 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.