Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/210084 
Year of Publication: 
2015
Series/Report no.: 
Working Paper No. 17/2015
Publisher: 
Norges Bank, Oslo
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: 
cc-by-nc-nd Logo
Document Type: 
Working Paper
Appears in Collections:

Files in This Item:
File
Size





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