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
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978-82-7553-884-8
- Language
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Englisch
- Bibliographic citation
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Series: Working Paper ; No. 17/2015
- Classification
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Wirtschaft
- Subject
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MS-VAR estimation
Bayesian estimation
parameter restrictions
block exogeneity
zero restrictions
- Event
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Geistige Schöpfung
- (who)
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Binning, Andrew
Maih, Junior
- Event
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Veröffentlichung
- (who)
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Norges Bank
- (where)
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Oslo
- (when)
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2015
- Handle
- Last update
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10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
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
- Binning, Andrew
- Maih, Junior
- Norges Bank
Time of origin
- 2015
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