Bayesian analysis of a vector autoregressive model with multiple structural breaks
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References listed on IDEAS
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- Katsuhiro Sugita, 2015. "Bayesian analysis of the predictive power of the yield curve using a vector autoregressive model with multiple structural breaks," Economics Bulletin, AccessEcon, vol. 35(3), pages 1867-1873.
- Katsuhiro Sugita, 2016. "Bayesian inference in Markov switching vector error correction model," Economics Bulletin, AccessEcon, vol. 36(3), pages 1534-1546.
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Keywords
Bayesian inference Structural break Cointegration Bayes factor;JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
Statistics
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