Bayesian Inference for the Mixed-Frequency VAR Model

Paul Viefers

No 1172, Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research

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.

Keywords: Markov mixture models; Label switching; Bayesian VAR; Mixed frequencies (search for similar items in EconPapers)
JEL-codes: C32 C38 E32 E37 E51 (search for similar items in EconPapers)
Pages: 22 : Anh. p.
Date: 2011
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (7)

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