Norges Bank

Working Paper

Applying flexible parameter restrictions in Markov-switching vector autoregression models

Andrew Binning and Junior Maih
Working Paper


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.

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ISSN 1502-8143 (online)

Published 1 December 2015 16:30
Published 1 December 2015 16:30