Applying Flexible Parameter Restrictions in Markov-Switching Vector Autoregression Models

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

Med mindre annet er angitt, så er denne innførselen lisensiert som Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal