Markov Chain Monte Carlo Estimation of Regime Switching Vector Autoregressions
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Publication:3632874
DOI10.2143/AST.29.1.504606zbMath1162.91524MaRDI QIDQ3632874
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Publication date: 15 June 2009
Published in: ASTIN Bulletin (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
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Cites Work
- Analysis of time series subject to changes in regime
- Dynamic linear models with Markov-switching
- Autoregressive conditional heteroskedasticity and changes in regime
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Covariance structure of the Gibbs sampler with applications to the comparisons of estimators and augmentation schemes
- On Gibbs sampling for state space models
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