Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity
Helmut Lütkepohl, Tomasz Woźniak
| Year of publication: |
2020
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|---|---|
| Authors: | Lütkepohl, Helmut ; Woźniak, Tomasz |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 113.2020, p. 1-21
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| Subject: | Divisia money | Identification through heteroskedasticity | Monetary policy rules | Savage-Dickey density ratio | VAR-Modell | VAR model | Geldpolitik | Monetary policy | Heteroskedastizität | Heteroscedasticity | Theorie | Theory | Schätzung | Estimation | Bayes-Statistik | Bayesian inference | Markov-Kette | Markov chain | Schock | Shock | Mehrgleichungsmodell | Multiple equation model | Geldmenge | Money supply |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2020.103862 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012502522