Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/61331
Authors: 
Viefers, Paul
Year of Publication: 
2011
Series/Report no.: 
DIW Discussion Papers 1172
Abstract: 
In this paper a mixed-frequency VAR à la Mariano & Murasawa (2004) with Markov regime switching in the parameters is estimated by Bayesian inference. Unlike earlier studies, that used the pseuo-EM algorithm of Dempster, Laird & Rubin (1977) to estimate the model, this paper describes how to make use of recent advances in Bayesian inference on mixture models. This way, one is able to surmount some well-known issues connected to inference on mixture models, e.g. the label switching problem. The paper features a numerical simulation study to gauge the model performance in terms of convergence to true parameter values and a small empirical example involving US business cycles.
Subjects: 
Markov mixture models
Label switching
Bayesian VAR
Mixed frequencies
JEL: 
C32
C38
E32
E37
E51
Document Type: 
Working Paper

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