Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/128086
Authors: 
Kaufmann, Sylvia
Year of Publication: 
2014
Series/Report no.: 
Working Paper, Study Center Gerzensee 14.04
Abstract: 
Two Bayesian sampling schemes are outlined to estimate a K-state Markov switching model with time-varying transition probabilities. Data augmentation for the multinomial logit model of the transition probabilities is alternatively based on a random utility and a difference in random utility extension. We propose a definition to determine a relevant threshold level of the covariate determining the transition distribution, at which the transition distributions are balanced across states. Identification issues are addressed with random permutation sampling. In terms of efficiency, the extension to the difference in random utility specification in combination with random permutation sampling performs best. We apply the method to estimate a regime dependent two-pillar Phillips curve for the euro area, in which lagged credit growth determines the transition distribution of the states.
Subjects: 
Bayesian analysis
credit
M3 growth
Markov switching
Phillips curve
permutation sampling
threshold level
time-varying
probabilities
JEL: 
C11
C22
E31
E52
Document Type: 
Working Paper

Files in This Item:
File
Size
4.73 MB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.