A flexible prior distribution for Markov switching autoregressions with Student-t errors
نویسندگان
چکیده
منابع مشابه
A Flexible Prior Distribution for Markov Switching Autoregressions with Student-t Errors
This paper proposes an empirical Bayes approach for Markov switching autoregressions that can constrain some of the state-dependent parameters (regression coefficients and error variances) to be approximately equal across regimes. By flexibly reducing the dimension of the parameter space, this can help to ensure regime separation and to detect the Markov switching nature of the data. The permut...
متن کاملDDMSVAR for Ox: a Software for Time Series Modeling with Duration Dependent Markov-Switching Vector Autoregressions
Duration dependent Markov-switching VAR (from now on DDMSVAR) models are time series models with data generating process consisting in a mixture of two VAR processes, which switches according to a two-state Markov chain with transition probabilities depending on how long the process has been in a state. Interesting applications of this class of models have been carried out in business cycle ana...
متن کاملPrior Selection for Vector Autoregressions∗
Vector autoregressions (VARs) are flexible time series models that can capture complex dynamic interrelationships among macroeconomic variables. However, their dense parameterization leads to unstable inference and inaccurate out-ofsample forecasts, particularly for models with many variables. A potential solution to this problem is to use informative priors, in order to shrink the richly param...
متن کاملDirichlet prior for cascade SDE with Markov regime-switching
A Stochastic Differential Equation appearing in the statistical theory of turbulence is extended in random environment by assuming that its two parameters are switched by an unobserved continuoustime Markov chain whose states represent the states of the environment. A Dirichlet process is placed as a prior on the space of the sample paths of this chain, leading to a hierarchical Dirichlet model...
متن کاملDSGE MODELS WITH STUDENT-t ERRORS
This paper deals with Dynamic Stochastic General Equilibrium (DSGE) models under a multivariate student-t distribution for the structural shocks. Based on the solution algorithm of Klein (2000) and the gamma-normal representation of the t -distribution, the TaRB-MH algorithm of Chib and Ramamurthy (2010) is used to estimate the model. A technique for estimating the marginal likelihood of the DS...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2006
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2005.03.012