Methods for inference in large multiple-equation Markov-switching models

DOI10.1016/j.jeconom.2008.08.023zbMath1429.62698OpenAlexW3123590461MaRDI QIDQ299218

Christopher A. Sims, Tao Zha, Daniel F. Waggoner

Publication date: 22 June 2016

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

Full work available at URL: http://hdl.handle.net/10419/70758

zbMATH Keywords

composite Markov processdensity overlapincremental and discontinuous changesintegrated-out likelihoodnew MHM

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

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Uses Software

• CODA
• bvarsv
• tsbridge

Cites Work

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