Markov-switching models with unknown error distributions: identification and inference within the Bayesian framework

DOI10.1515/snde-2022-0055MaRDI QIDQ6645232

Shih-Tang Hwu, Chang-Jin Kim

Publication date: 28 November 2024

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

zbMATH Keywords

Markov chain Monte Carlolabel switching problemmixture of normalsidentification conditionunknown error distributionsemi-parametric Bayesian inference

Mathematics Subject Classification ID

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

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