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econ.EM2024
On Bayesian Filtering for Markov Regime Switching Models
Nigar Hashimzade, Oleg Kirsanov, Tatiana Kirsanova +1
This paper presents a framework for empirical analysis of dynamic macroeconomic models using Bayesian filtering, with a specific focus on the state-space formulation of Dynamic Sto…
econ.EM2018
On the solution of the variational optimisation in the rational inattention framework
Nigar Hashimzade
I analyse the solution method for the variational optimisation problem in the rational inattention framework proposed by Christopher A. Sims. The solution, in general, does not exi…