A flexible prior distribution for Markov switching autoregressions with Student-\(t\) errors

DOI10.1016/j.jeconom.2005.03.012zbMath1345.62115OpenAlexW2164390549MaRDI QIDQ274912

Philippe J. Deschamps

Publication date: 25 April 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.03.012

zbMATH Keywords

hidden Markov modelsempirical Bayes priorpermutation samplerreal interest ratetruncated inverted gamma

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Empirical decision procedures; empirical Bayes procedures (62C12) Markov processes: hypothesis testing (62M02)

Related Items (5)

Granger-causal analysis of GARCH models: A Bayesian approach ⋮ Bayesian influence diagnostics using normalized functional Bregman divergence ⋮ Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations ⋮ Unnamed Item ⋮ BAYESIAN ESTIMATION OF GARCH(p, q) MODEL

Cites Work

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• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Markov chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Bayesian Inference in Hidden Markov Models Through the Reversible Jump Markov Chain Monte Carlo Method
• Bayesian analysis of switching ARCH models
• Getting It Right
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