A flexible prior distribution for Markov switching autoregressions with Student-t errors

Journal of Econometrics

Volumn 133, Issue 1, 2006, Pages 153-190

  Deschamps, Philippe J ^a  

^a UNIVERSITY OF FRIBOURG   (Switzerland)

Author keywords

Empirical Bayes prior; Hidden Markov models; Permutation sampler; Real interest rate; Truncated inverted gamma

Indexed keywords

APPROXIMATION THEORY; CONSTRAINT THEORY; PARAMETER ESTIMATION; SWITCHING;

EMPIRICAL BAYES PRIOR; HIDDEN MARKOV MODELS; PERMUTATION SAMPLER; REAL INTEREST RATE; TRUNCATED INVERTED GAMMA;

MARKOV PROCESSES;

EID: 33745891535     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.03.012     Document Type: Article

References (21)

1. Abramowitz M., and Stegun I.A. Handbook of Mathematical Functions (1972), Dover Publications, New York
2. Andrews D.W.K. Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 59 (1991) 817-858
3. Andrews D.W.K., and Monahan J.C. An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator. Econometrica 60 (1992) 953-966
4. Bernardo J.M., and Smith A.F.M. Bayesian Theory. paperback edition. (2000), Wiley, Chichester
5. Chib S. Calculating posterior distributions and modal estimates in Markov mixture models. Journal of Econometrics 75 (1996) 79-97
6. Chib S., and Greenberg E. Understanding the Metropolis-Hastings algorithm. The American Statistician 49 (1995) 327-335
7. Engel C., and Hamilton J.D. Long swings in the dollar: are they in the data and do markets know it? American Economic Review 80 (1990) 689-713
8. Frühwirth-Schnatter S. Markov chain Monte Carlo estimation of classical and dynamic switching and mixture models. Journal of the American Statistical Association 96 (2001) 194-209
9. Garcia R., and Perron P. An analysis of the real interest rate under regime shifts. Review of Economics and Statistics 78 (1996) 111-125
10. Geweke J. Bayesian treatment of the independent Student-t linear model. Journal of Applied Econometrics 8 Suppl. (1993) S19-S40
11. Geweke J. Monte Carlo simulation and numerical integration. In: Amman H.M., Kendrick D.A., and Rust J. (Eds). Handbook of Computational Economics vol. 1 (1996), Elsevier, Amsterdam 731-800
12. Geweke J. Simulation methods for model criticism and robustness analysis. In: Bernardo J.M., Berger J.O., Dawid A.P., and Smith A.F.M. (Eds). Bayesian Statistics vol. 6 (1998), Oxford University Press, Oxford 275-299
13. Geweke J. Getting it right: joint distribution tests of posterior simulators. Journal of the American Statistical Association 99 (2004) 799-804
14. Green P.J. Reversible jump Markov chain Monte Carlo computation and Bayesian model determination. Biometrika 82 (1995) 711-732
15. Hamilton J.D. A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57 (1989) 357-384
16. Hamilton J.D. Time Series Analysis (1994), Princeton University Press, Princeton
17. Hamilton J.D. State-space models. In: Engle R.F., and McFadden D.L. (Eds). Handbook of Econometrics vol. 4 (1994), Elsevier, Amsterdam 3039-3080
18. Kaufmann S., and Frühwirth-Schnatter S. Bayesian analysis of switching ARCH models. Journal of Time Series Analysis 23 (2002) 425-458
19. Kim S., Shephard N., and Chib S. Stochastic volatility: likelihood inference and comparison with ARCH models. Review of Economic Studies 65 (1998) 361-393
20. Robert C.P., Rydén T., and Titterington D.M. Bayesian inference in hidden Markov models through the reversible jump Markov chain Monte Carlo method. Journal of the Royal Statistical Society (series B) 62 (2000) 57-75
21. Van Dijk D., Teräsvirta T., and Franses P.H. Smooth transition autoregressive models-a survey of recent developments. Econometric Reviews 21 (2002) 1-47