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17 avril 2024
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- 2404.11235
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Economics - EconometricsSujets proches
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Battulga Gankhuu, « Bayesian Markov-Switching Vector Autoregressive Process », arXiv - économie
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This study introduces marginal density functions of the general Bayesian Markov-Switching Vector Autoregressive (MS-VAR) process. In the case of the Bayesian MS-VAR process, we provide closed--form density functions and Monte-Carlo simulation algorithms, including the importance sampling method. The Monte--Carlo simulation method departs from the previous simulation methods because it removes the duplication in a regime vector.