References & Citations
Economics > Econometrics
Title: Bayesian Markov-Switching Vector Autoregressive Process
(Submitted on 17 Apr 2024)
Abstract: This study introduces marginal density functions of the general Bayesian Markov-Switching Vector Autoregressive (MS-VAR) process. In the case of the Bayesian MS-VAR process, we provide closed--form density functions and Monte-Carlo simulation algorithms, including the importance sampling method. The Monte--Carlo simulation method departs from the previous simulation methods because it removes the duplication in a regime vector.
Submission history
From: Battulga Gankhuu [view email][v1] Wed, 17 Apr 2024 10:37:52 GMT (3035kb,D)
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