Arbeitspapier
Applying Flexible Parameter Restrictions in Markov-Switching Vector Autoregression Models
We present a new method for imposing parameter restrictions in Markov-Switching Vector Autoregression (MS-VAR) models. Our method is more flexible than competing methodologies and easily handles a range of parameter restrictions over different equations, regimes and parameter types. We also expand the range of priors used in the MS-VAR literature. We demonstrate the versatility of our approach using three appropriate examples.
- ISBN
-
978-82-7553-884-8
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 17/2015
- Klassifikation
-
Wirtschaft
- Thema
-
MS-VAR estimation
Bayesian estimation
parameter restrictions
block exogeneity
zero restrictions
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Binning, Andrew
Maih, Junior
- Ereignis
-
Veröffentlichung
- (wer)
-
Norges Bank
- (wo)
-
Oslo
- (wann)
-
2015
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 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
- Binning, Andrew
- Maih, Junior
- Norges Bank
Entstanden
- 2015
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