Bayesian inference in Markov switching vector error correction model

Katsuhiro Sugita ()
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Katsuhiro Sugita: Faculty of Law and Letters, University of the Ryukyus

Economics Bulletin, 2016, vol. 36, issue 3, 1534-1546

Abstract: In this paper we consider a Bayesian approach to a Markov switching vector error correction model that allows for regime shifts in the number of cointegrating rank, the cointegrating vectors, the adjustment terms, the deterministic terms, the lag terms and the variance-covariance matrix. We use a valid prior for the cointegrating space, and sample the state variable by employing the multi-move Gibbs sampler, and estimate the cointegrating vectors by a collapsed Gibbs sampler. We also drive the posterior densities for the model where cointegrating vectors are regime-independent.

Keywords: Bayesian; Markov switching; cointegration (search for similar items in EconPapers)
JEL-codes: C4 C5 (search for similar items in EconPapers)
Date: 2016-08-11
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Citations: View citations in EconPapers (3)

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