Supplementary Appendix to Autoregressive Moving Average Infinite Hidden Markov-Switching Models

This Appendix contains additional empirical results with respect to the published article. In Section 1, the posterior results for the HDP parameters of the IHMS- ARMA models are presented for the U.S. GDP growth rate and inflation series. In Section 2, we report additional in-sample and forecasting results for the same series. In Section 3, some results for a different truncation choice of the number of regimes in the approximate model are reported.Full paper available at: 'https://ssrn.com/abstract=2965441' https://ssrn.com/abstract=2965441

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Year of publication:	2017
Authors:	Bauwens, Luc
Other Persons:	Carpantier, Jean-Francois (contributor) ; Dufays, Arnaud (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Markov-Kette \| Markov chain \| ARMA-Modell \| ARMA model \| Bayes-Statistik \| Bayesian inference

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