Stochastic model specification in Markov switching vector error correction models

DOI10.1515/snde-2018-0069OpenAlexW3007621132MaRDI QIDQ2699603

Michael Pfarrhofer, Niko Hauzenberger, Thomas O. Zörner, Florian Huber

Publication date: 19 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1807.00529

zbMATH Keywords

hierarchical modelingEuro areainflation forecastingnonlinear vector error correction model

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Uses Software

• Gibbsit

Cites Work

• Model-based clustering based on sparse finite Gaussian mixtures
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• Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space
• The Bayesian Lasso
• Forecasting and conditional projection using realistic prior distributions
• Measuring business cycles with a dynamic Markov switching factor model: an assessment using Bayesian simulation methods
• Bayesian Analysis of Binary and Polychotomous Response Data

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