A Bayesian Infinite Hidden Markov Vector Autoregressive Model
Year of publication: |
2016
|
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Authors: | Nibbering, Didier ; Paap, Richard ; van der Wel, Michel |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Time-Varying Parameter Vector Autoregressive Model | Semi-parametric Bayesian Inference | Dirichlet Process Mixture Model | Hidden Markov Chain | Monetary Policy Analysis | Real-time Forecasting |
Series: | Tinbergen Institute Discussion Paper ; 16-107/III |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 874233313 [GVK] hdl:10419/149511 [Handle] RePEc:tin:wpaper:20160107 [RePEc] |
Classification: | C11 - Bayesian Analysis ; C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models ; C51 - Model Construction and Estimation ; c54 |
Source: |
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