17 avril 2024
Battulga Gankhuu, « Bayesian Markov-Switching Vector Autoregressive Process », arXiv - économie
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.