English, Article, Journal or magazine article edition: A flexible prior distribution for Markov switching autoregressions with Student-t errors Philippe J. Deschamps

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Bookmark: http://trove.nla.gov.au/version/161944
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A flexible prior distribution for Markov switching autoregressions with Student-t errors
Author
  • Philippe J. Deschamps
Physical Description
  • preprint
Notes
  • This paper proposes an empirical Bayes approach for Markov switching autoregressions that can constrain some of the state-dependent parameters (regression coefficients and error variances) to be approximately equal across regimes. By flexibly reducing the dimension of the parameter space, this can help to ensure regime separation and to detect the Markov switching nature of the data. The permutation sampler with a hierarchical prior is used for choosing the prior moments, the identification constraint, and the parameters governing prior state dependence. The empirical relevance of the methodology is illustrated with an application to quarterly and monthly real interest rate data.
  • Hidden Markov models; empirical Bayes prior; truncated inverted gamma; permutation sampler; real interest rate
  • RePEc:fri:dqewps:wp0002
Language
  • English
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