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panel Markov-switching VAR
Posted: Mon May 23, 2016 9:41 am
by abi
Is there any code for panel Markov-switching VAR model?
Re: panel Markov-switching VAR
Posted: Mon May 23, 2016 10:59 am
by TomDoan
Do you have a reference?
Re: panel Markov-switching VAR
Posted: Mon May 23, 2016 11:24 am
by abi
Dear Tom,
The panel Markov-Switching VAR I am looking for is used in the following article:
Billio, Monica, Casarin, Roberto, Ravazzolo, Francesco, & Van Dijk, Herman K. (2014). "Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model". working paper Norges Bank Research.
Re: panel Markov-switching VAR
Posted: Mon May 23, 2016 4:20 pm
by TomDoan
Most of that is putting together standard sampling methods for switching multivariate regressions. However, I don't really understand what they're doing with the switching probabilities.