Learning about the across-regime correlation in switching regression models

DOI10.1016/S0304-4076(96)00009-7MaRDI QIDQ1362497zbMATH OpenOpenAlexFDO

Authors Gary Koop, Dale J. Poirier

Publication date 12 August 1997

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4076(96)00009-7

zbMATH Keywords

identificationGibbs samplerRoy model

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to economics (62P20)

Recommendations

• Regime switching for dynamic correlations
• The autocorrelation function behavior of regime switching models: an empirical approach
• Inference for the correlation coefficient between potential outcomes in the Gaussian switching regime model
• A gradual switching regression model with autocorrelated errors
• Regime-switching cointegration
• A new approach to model regime switching
• scientific article; zbMATH DE number 2133112
• Estimation of Markov regime-switching regression models with endogenous switching
• STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION

Cites work

• Markov chains for exploring posterior distributions. (With discussion)
• Measuring the unidentified parameter of the extended Roy model of selectivity
• Posterior distribution for the multiple correlation coefficient with fixed regressors

Cited in

(14)

• Bayesian inference in a sample selection model with multiple selection rules
• Bayesian treatment effects models with variable selection for panel outcomes with an application to earnings effects of maternity leave
• Analysis of treatment response data without the joint distribution of potential outcomes
• Bayesian inference in a correlated random coefficients model: modeling causal effect heterogeneity with an application to heterogeneous returns to schooling
• Estimation, Learning and Parameters of Interest in a Multiple Outcome Selection Model
• Self-selection and direct estimation of across-regime correlation parameter
• Bayesian analysis of cross-section and clustered data treatment models
• Attenuation bias vs selection bias: a multi-outcome three-stage model
• Bayesian analysis of a self-selection model with multiple outcomes using simulation-based estimation: An application to the demand for healthcare
• Inference for the correlation coefficient between potential outcomes in the Gaussian switching regime model
• Treatment effects: a Bayesian perspective
• Bayesian robust inference of sample selection using selection-t models
• Bayesian inference in a sample selection model
• A Bayesian analysis of the multinomial probit model with fully identified parameters

This page was built for publication: Learning about the across-regime correlation in switching regression models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1362497)