This paper develops a Bayesian approach for analyzing a vector autoregressive model with multiple structural breaks based on MCMC simulation methods, extending a method developed for the univariate case by Wang and Zivot (2000). It derives the conditional posterior densities using an independent...

This paper introduces Bayesian inference in a Markov switching partial cointegration model. The partial cointegration allows the cointegration relationships to be switched on and off depending on the regime, unlike conventional cointegration analysis that assumes linear adjustment toward...

This paper introduces a Bayesian approach to a Markov switching cointegration model that allows the cointegration relationships to be switched on and off depending on the regime. Unlike a classical method for nonlinear cointegration model that uses the cointegrating vector based on a linear...