Working Paper

Applying flexible parameter restrictions in Markov-switching vector autoregression models

Author: Andrew Binning and Junior Maih
Series: Working Paper
Number: 17/2015

Working Paper 17/2015 (PDF 632.4 Kb)

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.

Published 1 December 2015 16:30