Estimating (Markov-Switching) VAR models without gibbs sampling : a sequential Monte Carlo approach

Mark Bognanni and Edward Herbst

Year of publication:	2014
Authors:	Bognanni, Mark ; Herbst, Edward P.
Publisher:	Cleveland, Ohio : Federal Reserve Bank of Cleveland
Subject:	Vector Autoregressions \| Sequential Monte Carlo \| Regime-Switching Models \| Bayesian Analysis \| Monte-Carlo-Simulation \| Monte Carlo simulation \| VAR-Modell \| VAR model \| Markov-Kette \| Markov chain \| Bayes-Statistik \| Bayesian inference \| Schätztheorie \| Estimation theory \| Zeitreihenanalyse \| Time series analysis \| Schätzung \| Estimation

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10010497164

A service of the