Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity

DOI10.1016/j.jedc.2020.103862OpenAlexW3005707205MaRDI QIDQ97969

Helmut Lütkepohl, Tomasz Woźniak, Tomasz Woźniak, Helmut Lütkepohl

Publication date: April 2020

Published in: Journal of Economic Dynamics and Control, Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.08167

zbMATH Keywords

Savage-Dickey density ratiomonetary policy rulesdivisia moneyidentification through heteroskedasticity

Mathematics Subject Classification ID

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

Related Items (2)

Monetary policy, external instruments, and heteroskedasticity ⋮ bsvars

Cites Work

• Unnamed Item
• Unnamed Item
• Methods for inference in large multiple-equation Markov-switching models
• Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks
• Structural vector autoregressions with Markov switching
• Calculating posterior distributions and modal estimates in Markov mixture models
• A generalization of the beta distribution with applications
• On the use of marginal posteriors in marginal likelihood estimation via importance sampling
• Estimating the marginal likelihood using the arithmetic mean identity
• Finite mixture and Markov switching models.
• Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques*
• Some Generalized Functions for the Size Distribution of Income
• Sampling-Based Approaches to Calculating Marginal Densities
• Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions
• Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information
• Forecasting and conditional projection using realistic prior distributions
• Markov chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models
• Computing Bayes Factors Using a Generalization of the Savage-Dickey Density Ratio
• Bayes Factors
• Testing identification via heteroskedasticity in structural vector autoregressive models
• Structural Vector Autoregressive Analysis

This page was built for publication: Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity