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.
- Language
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Englisch
- Bibliographic citation
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Series: DIW Discussion Papers ; No. 1172
- Classification
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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
- Subject
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Markov mixture models
Label switching
Bayesian VAR
Mixed frequencies
- Event
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Geistige Schöpfung
- (who)
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Viefers, Paul
- Event
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Veröffentlichung
- (who)
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Deutsches Institut für Wirtschaftsforschung (DIW)
- (where)
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Berlin
- (when)
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2011
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Viefers, Paul
- Deutsches Institut für Wirtschaftsforschung (DIW)
Time of origin
- 2011
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