Multivariate Generalizations of the Markov-Switching Model

Mohamad Khaled
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Mohamad Khaled: University of Paris I Pantheon-Sorbonne

No 297, Computing in Economics and Finance 2006 from Society for Computational Economics

Abstract: We present a multivariate generalization of the simple markov-switching model. We allow for the introduction of several latent processes that have a simple parametric distribution. The matrix-variate bernoulli distribution yields a flexible yet parsimonious pattern of dependence between the different latent processes while preserving the markovian property. We also show how to estimate the model in the bayesian framework and give several examples

Keywords: Bayesian statistics; markov-switching; matrix-variate bernoulli distribution; multivariate generalizations. (search for similar items in EconPapers)
JEL-codes: C11 C32 C51 (search for similar items in EconPapers)
Date: 2006-07-04
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecfa:297

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