Granger causality and regime inference in Bayesian Markov-Switching VARs
Year of publication: |
2015
|
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Authors: | Droumaguet, Matthieu ; Warne, Anders ; Woźniak, Tomasz |
Publisher: |
Frankfurt a. M. : European Central Bank (ECB) |
Subject: | Kausalanalyse | Markov-Kette | Stichprobenerhebung | VAR-Modell | Schätzung | Industrieproduktion | Geldmenge | USA | Bayesian hypothesis testing | block Metropolis-Hastings sampling | Markov-switching models | mixture models | posterior odds ratio |
Series: | ECB Working Paper ; 1794 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
ISBN: | 978-92-899-1607-3 |
Other identifiers: | 829065024 [GVK] hdl:10419/154227 [Handle] RePEc:ecb:ecbwps:20151794 [RePEc] |
Classification: | C11 - Bayesian Analysis ; C12 - Hypothesis Testing ; C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; E32 - Business Fluctuations; Cycles |
Source: |
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Granger causality and regime inference in Bayesian Markov-switching VARs
Droumaguet, Matthieu, (2015)
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