Bayesian Analysis of Markov Switching Vector Error Correction Model

Katsuhiro Sugita and 勝弘 杉田

No 2006-13, Discussion Papers from Graduate School of Economics, Hitotsubashi University

Keywords: Bayesian inference; Nonlinear cointegration; Markov switching model; Gibbs sampling; Bayes factor (search for similar items in EconPapers)
Pages: 38 pages
Date: 2006-11
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Persistent link: https://EconPapers.repec.org/RePEc:hit:econdp:2006-13

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