Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/210084
Authors: 
Binning, Andrew
Maih, Junior
Year of Publication: 
2015
Series/Report no.: 
Working Paper No. 17/2015
Abstract: 
We present a new method for imposing parameter restrictions in Markov-Switching Vector Autoregression (MS-VAR) models. Our method is more flexible than competing methodologies and easily handles a range of parameter restrictions over different equations, regimes and parameter types. We also expand the range of priors used in the MS-VAR literature. We demonstrate the versatility of our approach using three appropriate examples.
Subjects: 
MS-VAR estimation
Bayesian estimation
parameter restrictions
block exogeneity
zero restrictions
Persistent Identifier of the first edition: 
ISBN: 
978-82-7553-884-8
Creative Commons License: 
https://creativecommons.org/licenses/by-nc-nd/4.0/deed.no
Document Type: 
Working Paper
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