Granger causality and regime inference in Markov switching VAR models with Bayesian methods
Year of publication: |
June/July 2017
|
---|---|
Authors: | Droumaguet, Matthieu ; Warne, Anders ; Woźniak, Tomasz |
Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 32.2017, 4, p. 802-818
|
Subject: | Granger causality | hidden Markov process | Markov-switching models | mixture models | posterior odds ratio | block Metropolis-Hastings sampling | Kausalanalyse | Causality analysis | Markov-Kette | Markov chain | Stichprobenerhebung | Sampling | VAR-Modell | VAR model | Schätzung | Estimation | Industrieproduktion | Industrial production | Geldmenge | Money supply | USA | United States | 1959-2012 |
-
Granger causality and regime inference in Bayesian Markov-switching VARs
Droumaguet, Matthieu, (2015)
-
Granger causality and regime inference in Bayesian Markov-Switching VARs
Droumaguet, Matthieu, (2015)
-
Granger causality and regime inference in Bayesian Markov-Switching VARs
Droumaguet, Matthieu, (2015)
- More ...
-
Granger causality and regime inference in Bayesian Markov-Switching VARs
Droumaguet, Matthieu, (2015)
-
Granger causality and regime inference in Bayesian Markov-switching VARs
Droumaguet, Matthieu, (2015)
-
Granger causality and regime inference in Bayesian Markov-Switching VARs
Droumaguet, Matthieu, (2015)
- More ...