Bayesian Markov-Switching Vector Autoregressive Process
Econometrics
2024-09-27 v3
Abstract
This study introduces marginal density functions of the general Bayesian Markov-Switching Vector Autoregressive (MS-VAR) process. In the case of the Bayesian MS-VAR process, we provide closed-form density functions and Monte-Carlo simulation algorithms, including the importance sampling method. The Monte-Carlo simulation method departs from the previous simulation methods because it removes the duplication in a regime vector.
Keywords
Cite
@article{arxiv.2404.11235,
title = {Bayesian Markov-Switching Vector Autoregressive Process},
author = {Battulga Gankhuu},
journal= {arXiv preprint arXiv:2404.11235},
year = {2024}
}