Methods for inference in large multiple-equation Markov-switching models

Journal of Econometrics

Volumn 146, Issue 2, 2008, Pages 255-274

  Sims, Christopher A ^a   Waggoner, Daniel F ^b   Zha, Tao ^b,c  

^a PRINCETON UNIVERSITY   (United States)

^b FEDERAL RESERVE BANK OF ATLANTA   (United States)

^c EMORY UNIVERSITY   (United States)

Author keywords

Composite Markov process; Density overlap; Incremental and discontinuous changes; Integrated out likelihood; New MHM

Indexed keywords

MARKOV PROCESSES; MATRIX ALGEBRA;

COMPOSITE MARKOV PROCESS; DENSITY OVERLAP; INCREMENTAL AND DISCONTINUOUS CHANGES; INTEGRATED-OUT LIKELIHOOD; NEW MHM;

MATHEMATICAL MODELS;

EID: 53649083271     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.08.023     Document Type: Article

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