Applying Flexible Parameter Restrictions in Markov-Switching Vector Autoregression Models

Andrew Binning and Junior Maih

No 2015/17, Working Paper from Norges Bank

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.

Keywords: Parameter Restrictions; MS-VAR estimation; Block Exogeneity; Zero Restrictions; Bayesian estimation (search for similar items in EconPapers)
Pages: 19 pages
Date: 2015-12-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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http://www.norges-bank.no/en/Published/Papers/Working-Papers/2015/172015/

Related works:
Working Paper: Applying Flexible Parameter Restrictions in Markov-Switching Vector Autoregression Models (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:bno:worpap:2015_17

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