dc.contributor.author | Binning, Andrew | |
dc.contributor.author | Maih, Junior | |
dc.date.accessioned | 2018-04-25T07:10:13Z | |
dc.date.available | 2018-04-25T07:10:13Z | |
dc.date.issued | 2015 | |
dc.identifier.isbn | 978-82-7553-884-8 | |
dc.identifier.issn | 1502-8143 | |
dc.identifier.uri | http://hdl.handle.net/11250/2495796 | |
dc.description.abstract | We present a new method for imposing parameter restrictions in Markov-Switching Vector Autoregression (MS-VAR) models. Our method is more flexible than competing methodologies and easily handles a range of parameter restrictions over different equations, regimes and parameter types. We also expand the range of priors used in the MS-VAR literature. We demonstrate the versatility of our approach using three appropriate examples. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | Norges Bank | nb_NO |
dc.relation.ispartofseries | Working Papers;17/2015 | |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/deed.no | * |
dc.subject | MS-VAR estimation | nb_NO |
dc.subject | Bayesian estimation | nb_NO |
dc.subject | parameter restrictions | nb_NO |
dc.subject | block exogeneity | nb_NO |
dc.subject | zero restrictions | nb_NO |
dc.title | Applying Flexible Parameter Restrictions in Markov-Switching Vector Autoregression Models | nb_NO |
dc.type | Working paper | nb_NO |
dc.description.version | publishedVersion | nb_NO |
dc.subject.nsi | VDP::Samfunnsvitenskap: 200::Økonomi: 210::Samfunnsøkonomi: 212 | nb_NO |
dc.source.pagenumber | 17 | nb_NO |