Arbeitspapier
Bayesian inference for the mixed-frequency VAR model
In this paper a mixed-frequency VAR à la Mariano & Murasawa (2004) with Markov regime switching in the parameters is estimated by Bayesian inference. Unlike earlier studies, that used the pseuo-EM algorithm of Dempster, Laird & Rubin (1977) to estimate the model, this paper describes how to make use of recent advances in Bayesian inference on mixture models. This way, one is able to surmount some well-known issues connected to inference on mixture models, e.g. the label switching problem. The paper features a numerical simulation study to gauge the model performance in terms of convergence to true parameter values and a small empirical example involving US business cycles.
- Sprache
-
Englisch
- Erschienen in
-
Series: DIW Discussion Papers ; No. 1172
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Multiple or Simultaneous Equation Models: Classification Methods; Cluster Analysis; Principal Components; Factor Models
Business Fluctuations; Cycles
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Money Supply; Credit; Money Multipliers
- Thema
-
Markov mixture models
Label switching
Bayesian VAR
Mixed frequencies
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Viefers, Paul
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsches Institut für Wirtschaftsforschung (DIW)
- (wo)
-
Berlin
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Viefers, Paul
- Deutsches Institut für Wirtschaftsforschung (DIW)
Entstanden
- 2011
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