Duration Dependent Markov-Switching Vector Autoregression: Properties, Bayesian Inference, Software and Application
نویسندگان
چکیده
منابع مشابه
DDMSVAR 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...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2005
ISSN: 1556-5068
DOI: 10.2139/ssrn.888720