Applying Flexible Parameter Restrictions in Markov-Switching Vector Autoregression Models

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.

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Year of publication:	2015
Authors:	Binning, Andrew ; Maih, Junior
Publisher:	Oslo : Norges Bank
Subject:	MS-VAR estimation \| Bayesian estimation \| parameter restrictions \| block exogeneity \| zero restrictions

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Series:	Working Paper ; 17/2015
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
ISBN:	978-82-7553-884-8
Other identifiers:	845457446 [GVK] hdl:10419/210084 [Handle] hdl:11250/2495796 [Handle] RePEc:bno:worpap:2015_17 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10012143873