Bayesian Inference in Regime-Switching ARMA Models With Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Regime Shifts

Mathematics

• Regime-switching Model 71%
• ARMA Model 64%
• Interest Rates 61%
• Absorbing 54%
• Bayesian inference 52%
• Structural Breaks 39%
• Volatiles 38%
• Metropolis-Hastings Algorithm 32%
• Regime Switching 31%
• Unit Root 31%
• Moving Average 28%
• Econometrics 27%
• Persistence 24%
• Posterior distribution 24%
• Efficient Algorithms 21%
• Term 13%

Business & Economics

• ARMA Model 100%
• Bayesian Inference 71%
• Regime Shift 61%
• Regime Switching 55%
• Metropolis-Hastings Algorithm 41%
• Posterior Distribution 31%
• Moving Average 27%
• Unit Root 25%
• Structural Breaks 24%
• Persistence 22%
• Econometrics 20%
• Empirical Results 16%

Social Sciences

• interest rate 66%
• regime 34%
• econometrics 18%
• persistence 14%
• literature 6%