Dynamics of consumption and dividends over the business cycle
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11640%2F14%3A00438321" target="_blank" >RIV/00216208:11640/14:00438321 - isvavai.cz</a>
Result on the web
<a href="http://www.cerge-ei.cz/pdf/wp/Wp522.pdf" target="_blank" >http://www.cerge-ei.cz/pdf/wp/Wp522.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Dynamics of consumption and dividends over the business cycle
Original language description
We examine a trivariate time series model that is subject to a regime switch, where the shifts are governed by an unobserved, two-state variable that follows a Markov process. The analysis is performed in a Bayesian framework developed by Albert and Chib(1993), where the unobserved states are treated as missing data and then analyzed via Gibbs sampling. This approach generates the posterior conditional distribution of all the parameters given the hidden states, and the posterior conditional distribution of the states given the parameters. This allows us to obtain the estimated values of all the parameters of interest.
Czech name
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Czech description
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Classification
Type
O - Miscellaneous
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GAP403%2F12%2F1394" target="_blank" >GAP403/12/1394: Returns on Property, Stocks, and Bonds - Consumption Perspective</a><br>
Continuities
S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů