Applying Flexible Parameter Restrictions in Markov-Switching Vector Autoregression Models

We present a new method for imposing parameter restrictions in Markov-Switching Vector Autoregression (MS-VAR) models. Our method is more flexible than competing methodologies and easily handles a range of parameter restrictions over different equations, regimes and parameter types. We also expand the range of priors used in the MS-VAR literature. We demonstrate the versatility of our approach using three appropriate examples

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Year of publication:	2016
Authors:	Binning, Andrew ; Maih, Junior
Publisher:	[S.l.] : SSRN
Subject:	Schätztheorie \| Estimation theory \| Markov-Kette \| Markov chain \| Modellierung \| Scientific modelling \| VAR-Modell \| VAR model \| Bayes-Statistik \| Bayesian inference

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Extent:	1 Online-Ressource (19 p)
Series:	Norges Bank Working Paper ; 17/2015
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 1, 2015 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014130425