panel Markov-switching VAR

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abi
Posts: 74
Joined: Sat Apr 13, 2013 3:48 am

panel Markov-switching VAR

Unread post by abi »

Is there any code for panel Markov-switching VAR model?
Last edited by abi on Mon Nov 30, 2020 4:59 am, edited 2 times in total.
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TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: panel Markov-switching VAR

Unread post by TomDoan »

Do you have a reference?
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abi
Posts: 74
Joined: Sat Apr 13, 2013 3:48 am

Re: panel Markov-switching VAR

Unread post 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.
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TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: panel Markov-switching VAR

Unread post 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.
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