Instrument-free Identifcation and Estimation of the Diferentiated Products Models

David Byrne, Susumu Imai () and Vasilis Sarafidis
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Susumu Imai: Economics Discipline Group, University of Technology Sydney and Queen's University

Department of Economics - Working Papers Series from The University of Melbourne

Abstract: We derive restrictions for Granger noncausality in Markov-switching vector autoregressive models and also show under which conditions a variable does not affect the forecast of the hidden Markov process. Based on Bayesian approach to evaluating the hypotheses, the computational tools for posterior inference include a novel block Metropolis-Hastings sampling algorithm for the estimation of the restricted models. We analyze a system of monthly US data on money and income. The results of testing in MS-VARs contradict those in linear VARs: the money aggregate M1 is useful for forecasting income and for predicting the next period’s state.

Keywords: differentiated goods oligopoly; instrument-free; parametric identification; non-parametric identification; cost data (search for similar items in EconPapers)
JEL-codes: C13 C14 L13 L41 (search for similar items in EconPapers)
Pages: 70 pages
Date: 2015-02
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Related works:
Working Paper: Instrument-free Identification And Estimation Of Differentiated Products Models (2015)
Working Paper: Instrument-free Identification and Estimation of Differentiated Products Models (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:mlb:wpaper:1198

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