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Heterogeneous switching in FAVAR models

Pierre Guérin and Danilo Leiva-León
Year of publication:
2022
Authors: Guérin, Pierre ; Leiva-León, Danilo
Published in:
Essays in honour of Fabio Canova. - Bingley, U.K. : Emerald Publishing Limited, ISBN 978-1-80382-831-2. - 2022, p. 65-98
Subject: Markov switching | factor analysis | vector autoregressions | Bayesian methods | credit | business cycle | VAR-Modell | VAR model | Markov-Kette | Markov chain | Konjunktur | Business cycle | Faktorenanalyse | Factor analysis | Schätzung | Estimation | Bayes-Statistik | Bayesian inference | Theorie | Theory | Zeitreihenanalyse | Time series analysis
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