A Bayesian Infinite Hidden Markov Vector Autoregressive Model
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More about this item
Keywords
Time-Varying Parameter Vector Autoregressive Model; Semi-parametric Bayesian Inference; Dirichlet Process Mixture Model; Hidden Markov Chain; Monetary Policy Analysis; Real-time Forecasting;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2016-12-11 (Econometrics)
- NEP-ETS-2016-12-11 (Econometric Time Series)
- NEP-FOR-2016-12-11 (Forecasting)
- NEP-ORE-2016-12-11 (Operations Research)
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