Methods for inference in large multiple-equation Markov-switching models
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- A Gibbs sampler for structural vector autoregressions
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Cited in
(29)- DSGE models with Student-\(t\) errors
- Reducing confidence bands for simulated impulse responses
- Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks
- Land-price dynamics and macroeconomic fluctuations with nonseparable preferences
- Sequential Bayesian inference for vector autoregressions with stochastic volatility
- Striated Metropolis-Hastings sampler for high-dimensional models
- Confronting model misspecification in macroeconomics
- Quasi-Bayesian model selection
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- Minimal state variable solutions to Markov-switching rational expectations models
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- Bayesian inference in a time varying cointegration model
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- Stochastic model specification in Markov switching vector error correction models
- Changing Macroeconomic Dynamics at the Zero Lower Bound
- Gaussian mixture vector autoregression
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- Methods for computing marginal data densities from the Gibbs output
- Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity
- \(K\)-state switching models with time-varying transition distributions -- Does loan growth signal stronger effects of variables on inflation?
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- Structural vector autoregressions with Markov switching
- Robust and efficient specification tests in Markov-switching autoregressive models
- Comparing stochastic volatility specifications for large Bayesian VARs
- Business cycles with cyclical returns to scale
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