Methods for inference in large multiple-equation Markov-switching models
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Publication:299218
DOI10.1016/J.JECONOM.2008.08.023zbMATH Open1429.62698OpenAlexW3123590461MaRDI QIDQ299218FDOQ299218
Authors: Christopher A. Sims, Daniel F. Waggoner, Tao Zha 
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
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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
- Title not available (Why is that?)
- Minimal state variable solutions to Markov-switching rational expectations models
- MCMC for Markov-switching models -- Gibbs sampling vs. marginalized likelihood
- Markov-switching models with endogenous explanatory variables. II: A two-step MLE procedure
- Tailored randomized block MCMC methods with application to DSGE models
- Bayesian inference in a time varying cointegration model
- On the stability of Calvo-style price-setting behavior
- Zero-inflated regime-switching stochastic differential equation models for highly unbalanced multivariate, multi-subject time-series data
- Changing Macroeconomic Dynamics at the Zero Lower Bound
- Stochastic model specification in Markov switching vector error correction models
- Gaussian mixture vector autoregression
- OLS estimation of Markov switching VAR models: asymptotics and application to energy use
- 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?
- A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model
- Estimating dynamic equilibrium models using mixed frequency macro and financial data
- Structural vector autoregressions with Markov switching
- Comparing stochastic volatility specifications for large Bayesian VARs
- Robust and efficient specification tests in Markov-switching autoregressive models
- Business cycles with cyclical returns to scale
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