panel Markov-switching VAR
-
abi
- Posts: 74
- Joined: Sat Apr 13, 2013 3:48 am
panel Markov-switching VAR
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.
-
TomDoan
- Posts: 7825
- Joined: Wed Nov 01, 2006 4:36 pm
Re: panel Markov-switching VAR
Do you have a reference?
-
abi
- Posts: 74
- Joined: Sat Apr 13, 2013 3:48 am
Re: panel Markov-switching VAR
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.
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.
-
TomDoan
- Posts: 7825
- Joined: Wed Nov 01, 2006 4:36 pm
Re: panel Markov-switching VAR
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.