Learning about the across-regime correlation in switching regression models

Journal of Econometrics

Volumn 78, Issue 2, 1997, Pages 217-227

  Koop, Gary ^a   Poirier, Dale J ^a,b  

^a UNIVERSITY OF TORONTO   (Canada)

^b Unit #3   (United States)

Author keywords

Bayesian; Gibbs; Identification; Roy model

Indexed keywords

EID: 0001383213     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0304-4076(96)00009-7     Document Type: Article

References (6)

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2. McCulloch, R., N. Polson and P. Rossi, 1994, A Bayesian analysis of the multinomial probit model with fully identified parameters, Manuscript.
3. Poirier, D.J. and P.A. Ruud, 1981, On the appropriateness of endogenous switching, Journal of Econometrics 16, 249-256.
4. Press, S.J. and A. Zellner, 1978, Posterior distribution for the multiple correlation coefficient with fixed regressors, Journal of Econometrics 8, 307-321.
5. Tierney, L., 1994, Markov chains for exploring posterior distributions (with discussion), Annals of Statistics 22, 1701-1762.
6. Vijverberg, W.P.M., 1993, Measuring the unidentified parameter of the extended Roy model of selectivity, Journal of Econometrics 57, 69-89.